C:\Program Files\Microsoft XNA\XNA Game Studio Express\v1.0\References\Windows\x86
Microsoft.Xna.Framework.dll
Microsoft.Xna.Framework.Game.dll
For XInput and XACT, you can include those DLLs by using the redistributable installer from the DirectX SDK (make sure you get the same version as the XNA SDK is using!) If you assume that the user already has DX9.0c, you can include only the D3DX, XACT and XInput installers, to keep the size of your total installer small.
Its *VERY* likely that the XNA DLLs will not be redistributable. This is the model that the DirectX team and the .Net team has followed and since the assemblies are installed in the GAC its the correct behaviour. You end up with multiple copies of the assemblies and in the case of a security hole MS will not be able to find and patch them all. This is also why you should not use installer generation tools that 'look for' dependencies - it may find the XNA ones and add them but it won't then find the native DX files that they require.
So right now as of beta 2 you have 2 choices:
1. Create a custom installer that includes the following redists:
.Net 2.0: http://www.microsoft.com/downloads/details.aspx?FamilyID=0856eacb-4362-4b0d-8edd-aab15c5e04f5
DirectX runtime files: http://www.microsoft.com/downloads/details.aspx?FamilyID=013c0f78-3c9b-44dc-b8be-46783bcac3cb
XNA runtime files: http://www.microsoft.com/downloads/details.aspx?FamilyId=EB14D73E-E6D8-4132-8032-3CB828DB5EFC
NOTE: read http://msdn.microsoft.com/library/default.asp?url=/library/en-us/directx9_c/Installing_DirectX_with_DirectSetup.asp to reduce the size of the DX setup files
-or-
2. Ask your users to run the following:
.Net 2.0 installer: http://www.microsoft.com/downloads/details.aspx?FamilyID=0856eacb-4362-4b0d-8edd-aab15c5e04f5
DirectX web installer: http://www.microsoft.com/downloads/details.aspx?familyid=2DA43D38-DB71-4C1B-BC6A-9B6652CD92A3
XNA installer: http://www.microsoft.com/downloads/details.aspx?FamilyId=EB14D73E-E6D8-4132-8032-3CB828DB5EFC
NOTE 2 of these links are the same as the redists you include in your custom installer. The DirectX one is a special small web installer that detects what is already there and only downloads the missing bits