This has really improved in SharePoint 2010. Now you can write to the ULS logs easily even with SharePoint Foundation. All you have to do is this:

SPDiagnosticsCategory diagCat = new SPDiagnosticsCategory(
     "My category",
     TraceSeverity.Monitorable,
     EventSeverity.Error);
 
SPDiagnosticsService diagSvc = SPDiagnosticsService.Local;
diagSvc.WriteTrace(
     0, // custom trace id
     diagCat,
     TraceSeverity.Monitorable, // logging level of this record
     "Writing to the ULS log: {0}", // custom message
     new object[] { "SharePoint rocks!" } // parameters
     );

This will result in a nice entry in the SharePoint log file:

Works great, but not available in sandboxed solutions...