Tools > Options > Media Network > Advanced has an option for "DLNA Controller" which allows Media Center to control playback on the DLNA device if it is supported, rather than having to use its interface.
This option immediately made DLNA far more interesting to me now, because the interface on most DLNA devices I have used is horrible - ugly graphics, slow navigation etc.
With DLNA control, I can just use JRemote on my iPad to control what's being played back on my devices, and control multiple devices just from the iPad.
I've actually just been experimenting with using DLNA to send video and audio to the Sony TVs in my house today, and have had mixed results though.
Here's the problem with DLNA: If your device supports the file as-is, then all it's using is network bandwidth. So if you have a file that your PC can't handle, but the DLNA device can, it should play smoothly. (assuming your network is fast enough)
But if it is not a format that the device supports, you either can't play it, or you need the PC to convert the file in realtime as it's playing back. That's not a big deal for audio, but is far more demanding for HD video than actually just playing it on the PC.
So far, I haven't got it all figured out for the Sony TVs here yet. The "Sony BD/TV" preset only streams DVD-quality video to the TVs by default, and it took a bit of hunting around before I was able to send HD video to them - but this is not native HD video, Media Center is converting the files in realtime, so the quality is worse, and my CPU usage skyrockets.
If I just put these files on a USB thumbdrive, the TV can play them back natively though, so there's no reason for it to be doing this conversion, I just have to figure out how to get it working.
If I tell Media Center not to convert the files, I just get an error on the TV saying it couldn't play the video.
So if your DLNA device supports everything natively, and works without any weird configuration required, it will do exactly what you want.
My TVs don't support MKV at all, but those are (mostly) just H.264 video inside an MKV container rather than an MP4 container, so there should be a way to convert that in realtime, without much CPU demand.