I've tested this by streaming from my Thunderbolt to XBMC. You need to enable WiFi and be on the same network as whatever device you are trying to stream to.
The Connected Media app is one way to go. Another is to use the Gallery (for videos) or Music apps. Hit the menu button and click 'Select Player'. A popup menu should appear listing all DLNA/UPnP devices that are capable of accepting the content. If you don't see any, try installing XBMC somewhere on the network.
Nice little feature.