Disclaimer: I have only been in the SharePoint business for 3 months, so now you are warned :-)
I have mostly done backend development and never worked with ASP.NET so SharePoint was a completely new beast for me.
Since I had no idea how to set up my dev environment I did some research on the net and came up with a environment that makes sense to me. Since I haven't been able to find any webcast actually descriping the optimal dev environment I have taken a shot at it.
The basic setup is a complete dev environment on a virtual image:
One of many ways to do sharepoint development.ppt
Opsaetning af udviklingsmiljoe til SharePoint.pptx