[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.
Example: Simple Drawing
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
Output XAML shown in Andrej's ViewerSvg tool