VSIP
Sam writes about VSIP. I just finished a VSIP project for a customer and agree it's a battle. All the typical suspects: doc errors, whole sections undocumented, and light on introductory material.
I was mostly building Tool Windows and found it most helpful to start with the AIWTool sample project. This allowed me to create ActiveX controls separate from VSIP and them embed them in a Tool Window in VS.NET.
My main stumbling block right now is integrating with Server Explorer. It's undocumented and I haven't figured it all out yet.