XLLs

Introduced in Excel 95
These can be browsed to from the Excel add-ins dialog box ?

Excel DNA

Managed XLLs

C++ /CLI

This is Microsoft's managed version of C++.

XLW

xlw.sourceforge.net/

XLW wraps the C API described in Microsoft Excel 97 Developer's Kit in a few classes that make API programming with Excel much, much easier

This powerful yet simple (a few lines of code as demonstrated in the Getting Started section) interface empowers your C or C++ numerics by embedding them in Excel just like the built in functions, allowing you to exploit Excel features such as graphs, solvers, and integration with the rest of the Microsoft Office suite.

The XLW project is hosted on SourceForge at xlw.sourceforge.net/. XLW is a mature and stable package which has been tested and used over many years in a wide variety of configurations. The library is not perfect but has certainly established its usefulness.
If you have any comments, you can email xlw-users@lists.sourceforge.net. Suggestions, improvements and criticisms of the software and documentation are always welcome.

XLW - documentation - xlw.sourceforge.net/refman/annotated.html

excel4net.com
erik-n.net/software/easyxll/
quantnet.com/forum/threads/how-to-create-udf-in-excel-using-c-and-visual-studio-2008.1260/

Loading add the following to the Workbook.Open event

bflag = Application.RegisterXLL<"path">
if (bflag = False) Then
msgbox("error loading")
End If

'if its already loaded bflag = true

An XLL is only loaded once per session

xlfRegister ???
Application.RegisteredFunctions

Excel4Net

ManagedXLL

managedxll.com
stochastix.com/solutions/excel/managedxll/latest/features

XLLPlus

planettechsolutions.com
planatechsolutions.com/xllplus6-online/dotnet_requirements.htm
as-ltd.co.uk/xllplus/default.htm

JetXLL
ExHale
RapidXLL

VBA
This loads the dll and returns True if successfully loaded

Dim breturn as Boolean 
breturn = Application.RegisterXLL "mylibrary.xll"