I dunno if this has been pointed out already but in Burnout Paradise you can get the Friends list portion of the XMB up and Read/Send messages.
This is the first time I've seen this and seems to me to be a huge step in the right direction towards in game XMB.
To get the friends list up:
1. Pause your game (Start)
2. Scroll to Paradise City Online (R1/L1)
3. There's an option to view Friends there (Triangle)
Pressing triangle brings up Friends list exactly as it is in the XMB. You can read through all your messages and send new ones through the Message Box, you can Send Friend invites, access you block list.
Seems that Criterion/EA are able to do something that Sony cannot.