There's an update out for the HTC Desire HD but it's not the major update to Android 2.3 Gingerbread you might have hoped for. It's a tweak and bugfix update that bumps the Desire HD to Android 2.2.1, which reportedly brings improved performance too.
It's an Over The Air update weighing in at 40MB. It will update the HTC Desire HD to software version 1.72.405.3 and the Android version to 2.2.1, the latest available Froyo. Aside from fixing some bugs, the Desire HD is reported to run a little faster overall after the update.
The camera shows a much more noticeable improvement. It's now snappier and the HD recording has reportedly been improved as well.
There's not a peep from HTC about when the HTC Desire HD and their other droids will receive the Android 2.3 Gingerbread update though. That might take a while as HTC will have to port all sorts of custom goodies (including the extensive Sense UI, the fast boot magic, etc) to the latest version of Android OS.