If you are new to developing for Visio Service in SharePoint 2010 then I recommend you get this training kit and review the lab for yourself.
In addition to Visio Services there are also labs on Excel Services, using BCS with Office, and even Azure.
Note: Included with this training kit is a virtual machine image that you can download and host in Hyper-V. This is perfect if you do not yet have a SharePoint 2010 Enterprise farm configured.
Click here to get this training kit, http://msdn.microsoft.com/en-us/Office2010DeveloperTrainingCourse
Click here to get the VM used for this kit, http://www.microsoft.com/download/en/details.aspx?displaylang=en&id=21099