On uninformed.org you can find a whitepaper which describes several ways to get your code covertly executed in the Windows kernel.
I’d like to comment on PEiD. If you have to analyse an unknown binary and you like to know some details about packers, compilers and crypto features, you should give PEiD a try.
McAfee recently published a study about stealth malware – also known as Rootkits. Some of the key findings are: