Here is a neat little article on MSDN about the security-related features in Visual Studio 2005. It starts off by covering the PREfast addition that is now bundled for developers working with C/C++ then moves onto some of the managed code analysis features as well as the ability to define what kind of sandbox your code is designed to run in.
One feature that VB.NET has that I would like to see in a future version of C# is the ability to provide intellisense feedback for when you are calling code that will not work within a particular security sandbox. Bill points this out to me every chance he can get – and he is right – its a pretty cool feature.