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
UDF Rules and guidelines
Session State vs. Global State in UDFs
How to update UDF assemblies during development
How to debug UDFs
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)
Array formula bug on B2 version of Excel Services.
Client COM Addin UDFs and Server UDFs issues with B2TR