The MOSS perf team (I think it stands for Microsoft Office Server System) just released sample web tests and load tests for testing Windows SharePoint Services, Office SharePoint Server, and Excel Server. The samples are on CodePlex. Even if you are not testing sharepoint, you might want to check them out. They use some nice techniques. For example, the excel tests provide a way to parameterize the target server for all the tests from an xml file.
Another technique is to write "component" load tests to load test a particular operation in isolation, and then run a full load test to test a mix of operations.
If you are deploying SharePoint, you really need to load test the servers before putting them into production to make sure you've sized your servers properly.
Click on the Releases tab, you'll see the load tests there in zip files.
The MOSS perf team has been using Visual Studio Load Tests to test their servers through out the Office 12 release cycle, so you can be sure the tool is up to it!
We've also been running some really large sharepoint tests in the EEC and MTCs (one was a 40,000 user test) to prove out the solution to our customers.