As many of you know, Visio 2007 and the other Office applications will support exporting to Adobe PDF and Microsoft XPS (XML Paper Specification). This works out of the box in Beta 2, but will be a separate free download when the final version is released (see this post for details). To generate one of these formats for your diagram, just go to “File>Publish as PDF or XPS…” and you’ll see the dialog below (this is the Vista version). You have a few options around quality and the such, but basically just click on Publish and you are ready to go.
I’ve attached a PDF generated from one of the sample files we are shipping with Visio 2007. There are three pages in the document and I think you'll agree that the results look great.
If you are feeling ambitious, you can actually add other export formats to this dialog. Check out this documentation on how to do it.