Eilene Hao from SharePoint Team, has started a series of posts on Developing Workflows using Visual Studio.NET 2005. He has recently completed four parts.
Developing Workflows in VS: Part 1 – Understanding Workflow Objects & Mechanics
Developing Workflows in VS: Part 2 – Planning Your Workflow: Two Things to Keep in Mind
Developing Workflows in VS: Part 3 – 5 Steps of Developing Workflow for SharePoint 2007
Cheers