Visio has been supporting UML diagrams for quite some time now. Microsoft has now added UML support in Visual Studio 2010.
Will these two tools interoperate? Further how does one go about deciding which tool to use for what diagrams (assuming one already has both tools)?
The UML tools in VS 2010 integrate with Team Foundation Server so you can link model elements with work items. In addition, you can create sequence diagrams, layer diagrams, and dependency graphs from code, perform architectural validation in your builds, generate code from UML class diagrams by creating custom templates, and other tasks to help you better understand and visualize your code. You'll also be able to extend and customize some of these tools.
The team will also ship additional functionality as feature packs after Visual Studio 2010 is released. For more information about what's in the first feature pack, see Cameron Skinner's blog.
The current release of VS 2010 does not support integration with Visio, but the team is working on import/export capabilities, such as XMI import.
For more information, see the documentation for these tools by starting here: Modeling the Application or my profile for more links.