I've been hacking away quite a bit at an application that contains large managed and unmanaged portions, and a necessarily complex interop layer in between. It appears that interop marshalling behaves somewhat differently between the full and Compact framework. Here's a somewhat laconic list of the issues I've encountered and how to resolve them:

1. You may encounter NotSupportedException on calls to Marshall.SizeOf. Although the documentation does not specify this as a possible exception, experience shows that this is a result of wrong marshalling attributes: for example, although trying to marshal a bool to UnmanagedType.I4 makes sense from a C programmer's perspective, it results in the behavior described above. The article describing this is called "Using the MarshalAsAttribute Attribute," but the version in my locally installed copy of MSDN Library (August 2006) does not contain this information.
2. Annoyingly, the default marshalling, or even an explicit UnmanagedType.Bool, results in corrupt values (probably some minor framework bug). I worked around this by defining the member as int and manually giving it the value 0 or -1.
3. It's not obvious, but you can't use UnmanagedType.LPArray from within structures - it only works on P/Invoke method declaration parameters. The only way to do this is to manually call Marshal.StructureToPtr and do some pointer arithmetic with IntPtr (annoying, but at least it's safe code).
4. The marshaller always frees up memory; although this makes a lot of sense from the .NET perspective, it probably means that you'll have to code in some sort of deep copying mechanism in your native code if you want any of that information in your state. This also has performance repercussions you should consider when architecting your interop layer.

I'll post updates to this as I come across more issues.