Particle Engine - XNA/C#

I would suggest Mercury Particle Engine - they have API's for XNA 3.1 and 4.0. Last stable update is from Oct 2010.

Probably one of the best available: XNA Particles

Also, take a look at Xen.

I would recommend DPSF (Dynamic Particle System Framework); this is the XNA Particles engine mentioned in Neil Knight's answer. The core framework is open source, and it provides tons of source code, examples, tutorials, help docs, and has a dedicated forum. You can use the stock effects and particle systems if you like, or write code to create your own. Also, DPSF is still regularly updated every few months, has versions for XNA 3.1 and 4.0, and supports both 2D and 3D particles on Windows, Xbox 360, Windows Phone 7 and 8, and the Zune. It also uses MonoGame to support WinRT and Android as well.