As I mentioned a while back, I'm writing a managed XLL style add-in system for Excel for one of my clients at the moment. This is going pretty well, most of the custom marshalling code is now done and we can write code in C# and expose it to Excel as worksheet functions.
Over Christmas I picked up a copy of Excel Add-in Development in C/C++: Applications in Finance by Steve Dalton. This is a book that I wished I had back in 2001 when I first started writing XLLs. It's full of otherwise hard to find information about how you work with, and around, the C API that Excel exposes for the development of XLL add-ins. So far, every time I remember a gotcha from my previous XLL development projects I can look up a solution for it in the book. I'm also learning a lot of useful things about how I can stretch the C API even further than I did on my last projects. The books is pretty dense; I'm not sure how approachable it would be to someone who'd never developed an XLL, though it does come with a CD of sample code and it explains XLLs from first principles (including how to set up your first XLL project in various versions of Visual Studio). It's a good reference book though (and that's what I need).Highly recommended.