I though creating a Custom List that is implemented as a Feature would be really easy, but as usual Sharpoint had other plans for me. Anyway after spend a lot of time I managed to get it working, I have created an article page with an example of how to create a Custom List Feature. You can view the article here
http://www.sharepointblogs.com/martinbailey/pages/create-a-custom-list-feature.aspx