The Patterns and Practices team at Microsoft has published 6 introductory training modules on secure development from Keith Brown on the Channel 9 site.  They are complete with video on the tecniques and explanations of why you have to take these precautions.  The topics include Cross Site Scripting, Validation Controls, SQL Injection, and a Regular Expression Lab. They are a great way to introduce developers to the tecniques required to prevent becoming the next bad headline!

They can be found here:
http://channel9.msdn.com/wiki/default.aspx/SecurityWiki.InputValidationTrainingModules