“XLW is an open source application that wraps the Excel C API in simple C++, C# or VB.NET interfaces which you can use to customize Excel with your own worksheet functions and menu items.
XLW developers include Financial Engineering practitioners with extensive experience of developing quantitative analytics in the finance industry including Mark Joshi the author of The Concepts and Practice of Mathematical Finance and C++ Design Patterns and Derivatives Pricing.”
I have yet to try it, so this isn’t a recommendation, but it does look interesting.
The Wilmott Forum thread is also worth a detailed read for different opinions on the best way to link Excel to compiled code.
Edit 14 Apr 2011:
Moving from an Excel xla add-in to a C# add-in – a detailed account of the trials and tribulations of moving from an xla add-in to C#. Not directly related to XLW, but well worth a read for anyone contemplating the same process.