Pre-requisites
Instead of re-hashing information I've found elsewhere I figured a pre-reqs post would be good.
One of our Devs in Excel Services has done a great job with posts on Excel Services User Defined Functions (UDFs) and programmability in general.
I use a lot of stuff I learned over on his blog, so you should at least check out the postings below if you're just learning about Excel services:
First "Hello World" code sample with the Excel Services APIs!
How UDFs work in Excel Services - a Primer
Session State vs. Global State in UDFs
How to update UDF assemblies during development
Making Excel Services UDFs work on Excel 2007 - Part 1
Making Excel Services UDFs work on Excel 2007 - Part 2
B2TR changes to UDFs in Excel Services
...and some MSDN documentation already:
Creating custom solutions with Excel Services
Excel Services SDK references!
...and some known bugs I found :o)