Have you considered Tao?

Or OpenTK?

This like SDL for .Net, only a bit higher level. It's also awesome that you can compile your program e.g. on Windows with VB.Net, and the *same* exe will work on all supported platforms (Windows/Linux and very soon OSX).

Why use this over Windows.Forms/GDI+? Well, it's faster (OpenGL), handles sound (OpenAL), input and math. OpenTK's also quite simple to use. Otherwise, it's mostly a matter of preference - if you are just starting out, Windows.Forms are a perfectly viable and simple solution - if I were you I'd continue on this path, and switch over something else when (if) I encountered limitations.

Edit: Tao is very powerful, but it isn't very beginner friendly. XNA is great too, but it will tie you to Windows (please avoid that :) ).