Expert .NET 2.0 IL Assembler by Serge Lidin
There was a 1.1 version of the same book, but I haven't seen anything for the latest .NET release. It's an excellent book. I used it to write an OCR component in MSIL, as a learning project.
[Edit] @Curt is right, 3.0 and 3.5 are just extensions to 2.0, I hadn't plugged that in to my head yet. Now I've thought of a fun geek project... compare the disassembly of standard 2.0 code to the new LINQ/Lambda way of performing common tasks like filtering lists. For some reason I assumed that the magic was happening in new IL features, not just the compiler.