I've written a three part series in MSDN Magazine that covers the Debugging API (specifically, DbgEng).

Writing a Debugging Tools for Windows Extension - Part 1 - March 2011

Covers the build environment and the basics of Output, reading Memory and reading Registers

Web: http://msdn.microsoft.com/en-us/magazine/gg650659.aspx
PDF: http://download.microsoft.com/download/4/D/4/4D40CAFF-528D-4AAF-80AA-2DD524A22BD2/MSDN_0311DG.pdf

Writing a Debugging Tools for Windows Extension - Part 2 - May 2011

Covers the how of Debugger Markup Language (DML)

Web: http://msdn.microsoft.com/en-us/magazine/hh148143.aspx
PDF: http://download.microsoft.com/download/0/5/7/057B35F0-6EF1-4E27-AE3A-9E7FD2060A63/MSDN_0511DG.pdf

Writing a Debugging Tools for Windows Extension - Part 3 - June 2011

Covers the how and why to use Debugger Clients and Debugger Output Callbacks

Web: http://msdn.microsoft.com/en-us/magazine/hh205613.aspx
PDF: http://download.microsoft.com/download/8/F/3/8F3FC55F-AB8F-4F1C-88CB-844901839517/MSDN_Magazine_0611.pdf