I recently gave a live streamed tutorial on building type providers, which I've embedded below. Apologies for the sound; apparently Google Hangouts added a feature I was unaware of until after the stream started which mutes your microphone whenever you type.
Fortunately I think enough was preserved to be useful, and (amazingly!) all of the demonstrations actually worked.
If you'd like to try things out for yourself, there's a github repository at https://github.com/mavnn/CambridgeTypeProvider which contains 6 individual fsx files, one for each new feature added to the type provider.
There's a bunch of other type provider information scattered around this blog, if you're interested just click the "typeprovider" tag.