I have slowly been working through a few exploits with vulnserver.exe. An awesome multithread TCP server which was written by Stephan Bradshaw of the Grey Corner blog. If you follow the link to the GitHub you can see a few awesome tutorials.
I have mostly started playing with this Windows-based server to get a more robust understanding of exploit dev since working through the C0relan.be exercises. Which I would also highly recommend but are a little dated. Though offer helpful directions in getting your feet a bit wet with exploit dev.
Other tutorials I would recommend and try out:
Sam Class
Sh3llC0d3r series
InfoSec Resources – Part 1
I will slowly be uploading all my code to GitHub so if you want to try it for yourself and see how it works on your machine. I will be sure to comment on all the code detailing the OS version and type.
Note
If you plan on running Vulnserver.exe and exploiting the program will need a few prerequisites. To get yourself started. I suggest learning and understanding Python somewhat thoroughly before diving in. Do not just copy-paste the code and expect it to work.
Also be proficient in the uses of Immunity Debugger and Mona.py both are powerful tools for understanding what is happening in real-time with your code and program crashes.
Happy hunting 
n0ps