I spent a little time today answering questions about some of the new features in Visio 2007, and noticed that I had never linked to these articles:

The first provides a good overview of the key additions around connecting to data, while the second is a complete reference of all the additions (and a small number of deprecations). It is a good idea to check the second article out if you are upgrading your application or add-in and want to see which of the new features you might want to use.

You might also want to take a look at these posts, as the document other behavior: