Just an update on this issue in case anyone else sees it. It would see it's all caused by that stupidly large cookie that's loaded when you first put the disc in.
When I first got the disc I sat there for about 10 minutes looking at the "loading" screen, eventually assumed it was broken and rebooted my "locked up" 360. Subsequent loads then just dropped me back to the dashboard after a few seconds.
It would seem that if you don't let the load finish the cookie gets corrupted. I have deleted all the HD DVD data, reloaded the disc, let the cookie download (only about 3 minutes this time) and now it works okay
Subsequent plays don't need this initial load time.