[Update on 2008-08-05]
Thierry Bouquain took this sample to the next level with much better results: http://www.ucaya.com/blog/2008/02/05/ASecondAttemptAtExportingXAMLFromVisio2007.aspx
I found that Andrej Benedik wrote a library from that reads SVG and outputs XAML. Remembering that Visio can import and export SVG, I did an experiment to see how far I could get with a Visio 2007 Add-In to export XAML.
Results
Final Thoughts
Example: Simple Drawing
Input Visio
Intermediate SVG exported by Visio (and loaded back into Visio)
Intermediate SVG exported by Visio (and loaded into Adobe Illustrator CS3)
Output XAML shown in the Andrej's ViewerSvg tool
Example: Gradients
Output XAML shown in Andrej's ViewerSvg tool