I want to write a new templating language, and I want Visual Studio to \"support\" it. What I need to know is:
As mentioned in other answers, the most interesting code sample is the Ook language extension for the latest version of Visual Studio (2017 at the time of writing).
For VS 2015 see the sample in the VS2015 branch.
In order to install the SDK for 2015 or later, you need to rerun the VS setup. In 2015 it's called "Visual Studio Extensibility Tools Update 3".