You need to register as a developer, then you will be able to register your phone in the Zune software, allowing you to sideload the apps and debug them on the phone. IIRC you can have three devices registered to a single account.
There's no way of distributing apps outside the marketplace, other than to other developers (who would be able to deploy your XAP file on their phones in the same way as if it were their own app).
Given that you're thinking of putting it on the marketplace, you'll need to register anyway - so do it now and take advantage of the ability to test it on your device right away :)
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