Finally the DX SDK August 2009 has been released, which contains the RTM version of DirectX 11. Moreover, it also brings back the effects framework for DX11, which was missing in the March SDK. Grab it at the Microsoft Download Centre while it's hot.
Some things are still not supported, especially PIX is not able to debug compute shaders at the moment. On Vista, it may require a patch to work (KB971644), which is not up yet, so you should run Windows 7 if possible.
[Update] The update for Windows Vista can be now downloaded. It's actually a larger platform update (and currently beta), which also brings the Scenic Ribbon from Windows 7 back to Vista. Took me a few tries before the download centre would display the update (previously, I got "page not found"), so be patient.
[Update] The update is not working on localised Vista versions, I could install it on an US Vista, but not on a German one. Specifically, it fails to to install "Windows6.0-KB971512-x64", which contains the d3d11.dll (among other things). I'll update this post again if I get it working, in the meantime, use an US Vista. Setting the language options to English (US) is not enough.
[Update] Got two confirmations from Microsoft, it is indeed only working on en_US Vista installations. The final release will work with localised versions as well. That's a annoying, as I don't get why I have to wait for potentially weeks just because I cannot change my Vista locale.
[Update] The final version has been released.