Wrote a console application today that synchronizes a SQL database with task information from a SharePoint farm as part of a task aggregation solution for a client. Came across two small "issues" with Visual Studio 2010/SharePoint 2010 and console applications. I am primarily writing this to remind myself later, but perhaps it will help someone else as well.
First "gotcha": Make sure you set the target .NET Framework to 3.5. By default Visual Studio 2010 is going to select 4.0 and it will then do a bunch of complaining about not finding Microsoft.SharePoint.dll. Yes, the compiler will give a pretty detailed error which may or may not reference the fact that you need to target 3.5, but it had me scratching my head for awhile so I figure its worth capturing.
Second "gotcha": You need to target x64 platform. I was getting all kinds of crazy behavior when targeting x86. When I would try to create SPSite objects I would get "FileNotFound". If I would try to use SPWebService.Locate I would get permissions issues. Switch the platform to x64 and everything started working like magic!
That's it, hope this saves someone some time (preferably me on a later project ;-) ).