As I’ve mentioned before, Visual Studio Tools for Office includes wizards for Visio in their latest release (VSTO 2005 SE) and this will be a big part of Visio development in the future. Having said that, there is still a little bit of work in creating a VSTO Visio add-in.
Chris Castillo has created the definitive guide on VSTO and Visio. I’d highly recommend checking it out if you do managed code programming in Visio. It explains both the how and why of working with VSTO.