A Microsoft online seminar was posted on Friday, January 30, for Using Threat Analysis to Design More Secure Systems. The seminar presents Michael Howard's introduction to Threat Modeling (originally recorded late 2002). Michael has presented these ideas in detail in his book Writing Secure Code, Second Edition.
If you haven't had a chance to read this great book, download this seminar and learn this important aspect of designing secure systems.
For a quick chapter summary on Threat Modeling, see this as well: http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnnetsec/html/THCMCh03.asp.