Here are some great posts on setting up continuous integration, specifically with CruiseControl.net:

CruiseControl.Net Tutorial  - Part 1
Setting up Continuous Integration

I know several people that have been looking at Team City as a good alternative to CC.  There's also a decent article on doing CI with Team Foundation Server.

Let me know if there are any links / resources I should add to this list and I'll update this post. :-)