Theoretically all of your code should be covered by unit tests (although it is common to ignore simple properties). For help with this see NCover hopefully this will soon get a VS.NET addin.
If you are really lucky you are working on a greenfield project that has clear static requirements, a simple yet detailed design document, a full set of acceptance tests and plenty of time to write the unit tests. However in the real world you don’t have any of these.
Typically you will have an existing code base, some of which is covered by unit tests and the others not.
You need to prioritise where to write the unit tests.
Carefully constructed tests can excercise a large part of the system in a few tests.
For example if you use a Facade to import data into the system (considered an atomic step, but actually exercising a lot of validation, parsing and persistance code) you can exercise the most frequently used 25% of the system in a handfull of tests.
If a test fails you can use other smaller more detailed tests to narrow down the error.
The only downside to this is that a single error in a fundamental system can cause hundreds of failures.
If one area of the system has failed frequently over a number of builds then it is an obvious target for some new unit tests.
If any area of the system includes scripting, dynamic sql or stored procedures they need to be called at least once by the unit tests. This will excercise the database creation script during either the build process or by the Continous Integration server (You do create a new database as part of your build process don’t you?). Anything that is not checked by the compiler is ripe for typos to cause havoc. Stored procedures are great – when compiled they report certain errors (the sql does not make sense) however they can ignore the fact that tables or fields do not exist.
Tests need to be fragile with respect to the functionality tested, but be immune to minor changes in call symantics. This is where some simplifying Facades really help – they isolate the test code from change, encourage reuse, make the test code easier to read and can provide ideal debugging fodder (either after the test has been run or set breakpoints and run a single test).