I didn't know what I was missing until I got into log4net, and now I use it everywhere. I just feel naked without putting logging into classes. It's saved my life several times over. I've just finished reading this post by the BCL team about the new tracing facilities in .NET 2.0. It seems a lot easier than it used to be, although I'm still partial to log4net.

If you're interested in learning about how the trace listeners work, this article will give you a pretty good breakdown.