The MSDN Magazine site just put up my article, Do You Trust It? Discover Techniques for Safely Hosting Untrusted Add-Ins with the .NET Framework 2.0, as a preview of their November security issue. In the article I cover various techniques for safely hosting Add-Ins which may or may not be trusted, starting from the basic Assembly.Load technique and moving onto sandboxing, transparency, and AppDomainManagers. I'd say it's worth a read, but then I might be a little biased as well :-)
This issue also features an article by Mike Downen covering the various enhancements to CLR security in v2.0.