I've recently had the opportunity to investigate some of the extensibility features in Visual Studio 2008, and not surprisingly there are a lot of different methods open to you. By extensibility I mean extending the functionality of Visual Studio over and above what's in the box in some way, not just customising the IDE to suit your way of working. Here are the main ways you can set about extending Visual Studio, starting with the simplest and moving to the most advanced.
Templates enable you to define your own variations on standard project types or items. So if you find yourself repeatedly recreating the same basic project over and over again, a new project template can save you a lot of effort. Simply create the basic project you'd like to reuse, and then use the "Export Template Wizard" from the File menu in Visual Studio. Then you'll have a new project type available whenever you create a new project in Visual Studio. You can do the same kind of thing with individual items, so for example you could have a new form type, already populated with some controls and code.
Macros are the next step up, and they work in a very similar way to macros in Office applications. Visual Studio has a macro recorder, so you can record a sequence of operations in the IDE for later play back. These macros are recorded as Visual Basic code, and Visual Studio has a built macro editing environment for tweaking the recorded code. Macros also work as a great learning tool, so if you want to learn how to automate something in Visual Studio you can record a macro and then analyse the code to see how it's done. For an overview of the range of functionality available check out this diagram of the Visual Studio Automation Object Model.
Add-ins come next and offer a couple of features over and above macros. For a start they can be distributed as compiled code and they can be written in any language that supports COM automation. Most importantly they provide a greater degree of integration with Visual Studio, allowing you to add commands to Visual Studio menus and toolbars, add new pages to Visual Studio's Options dialog, and create new tool windows in Visual Studio.
Top of the range though are Visual Studio Packages. To create a package you'll need to download and install the latest version of the Visual Studio SDK and accompanying documentation. The Visual Studio SDK and the package system enables you to do pretty much anything with Visual Studio. All of Visual Studio's existing functionality is written in the form of packages, so you can implement new editors, tool windows, project systems and even re-purpose the basic shell. The VSX website has loads of material on extending the Visual Studio IDE, and a catalogue of available extensions (some free, some commercial).