One nice thing to mention thats not clearly noticed in many pages is the communication settings between an Arduino board and an XBee running at 115.200 bps.
Initially with testing I was not able to get the communication working with speeds higher then 38.400 bps. For some reason above this speed packets are not received by the Arduino board. After some searching trough the manual I found a small note in the manual that setting the XBee speed (Command BD) to value 7 (115.200 bps) would actually run the interface speed at 111.111 bps. If you match your Arduino to talk at 111.111 bps it then works fine.