I plan to post more about this in the future (and hopefully some examples.)  For now, here are some resources:

• .NET must have: Start with this C# example.  Alternatively, use this VB.NET example.
  
• C#
  • Article: Using the WB with .NET
  • Article: Another WB Example
  • Article: Implementing IDocHostUIHandler
  • Article: Programmatically change printer settings
  • Article: Handle script/DOM events in .NET code
  • Example: Hosting MSHTML
  • Group: Fix problem where WindowClosing event does not fire
    
• C++
  • Article: Invoking hidden WB commands
  • Article: Implementing IDocHostUIHandler
  • Article: Updating back/forward buttons
  • Article: Use OLECMDID_ONUNLOAD to fire BeforeUnload before closing a form
  • Article: Travel Log Example
  • Article: Get an IWebBrowser2 interface from a document reference
  • Article: How to handle script errors as a WebBrowser control host
  • Group: Extend the DOM with IDispatchEx
  • BUG: IDocHostUIHandler2 Is Not Called from Within a WebBrowser Control
    
• Other
  • Helpful Delphi WB docs
  • Changing font size
  • Customizing print and print preview
    
• Documentation 
  • Programming and reusing the browser
  • VB WB Reference
  • MSHTML Reference