After struggling with the ST library, I looked for other solutions coding for the F4. So I found the RTOS Chibios and got productive much easier.
I wrote some examples using the ADC, PWM and the microUSB using either libusb or a generic USB-CDC driver to connect it to the computer:
I also already have a forum thread about them on the ChibiOS forums (1, 2).
Note: You need the ChibiOS svn versions, since the STM32F4 USB driver is not yet in the stable release.
Disclaimer: Since I am a noob at C, RTOS, uCs and much more, the code is not done by a professional, I still think it might be a help for example for arduino converts.