David Kean just pointed out that Jason Kresowaty (contributor to many projects) has written a tutorial on creating your own FXcop rules.

http://www.binarycoder.net/fxcop/

(excerpt from the Tutorial)

FxCop's capabilities encompass a great breadth and depth of code analysis features. The breadth of elements that you can check spans everything from naming conventions and parameter values to spelling and XML documentation comments. The depth encompasses high-level assembly metadata down to control structures and, ultimately, individual opcodes. Nearly all of FxCop's intrinsic power is made available for you to use in your custom FxCop solutions.

While on the topic make sure and check out David Kean's

FAQ: Which Code Analysis rules shipped in which version?