There are four main ways to do interop in .NET between the managed and native worlds. COM interop can be accomplished using Runtime Callable Wrappers (RCW) and COM Callable Wrappers (CCW). The common language runtime (CLR) is responsible for type marshaling (except in the rare scenarios where a custom marshaler is used) and the cost of these calls can be expensive. You need to be careful that the interfaces are not too chatty; otherwise a large performance penalty could result. You also need to ensure that the wrappers are kept up to date with the underlying component. That said, COM interop is very useful for simple interop scenarios where you are attempting to bring in a large amount of native COM code.
The second option for interop is to use P/Invoke. This is accomplished using the DllImport attribute, specifying the attribute on the method declaration for the function you want to import. Marshaling is handled according to how it has been specified in the declaration. However, DllImport is only useful if you have code that exposes the required functions through a DLL export.
When you need to call managed code from native code, CLR hosting is an option. In such a scenario, the native application has to drive all of the execution: setting up the host, binding to the runtime, starting the host, retrieving the appropriate AppDomain, setting up the invocation context, locating the desired assembly and class, and invoking the operation on the desired class. This is definitely one of the most robust solutions in terms of control over what and when things happen, but it is also incredibly tedious and requires a lot of custom code.
The fourth option, and quite possibly the easiest and the most performant, is to use the interop capabilities in C++. By throwing the /clr switch, the compiler generates MSIL instead of native machine code. The only code that is generated as native machine code is code that just can't be compiled to MSIL, including functions with inline asm blocks and operations that use CPU-specific intrinsics such as Streaming SIMD Extensions (SSE). The /clr switch is how the Quake II port to .NET was accomplished. The Vertigo software team spent a day porting the original C code for the game to code that successfully compiled as C++ and then threw the /clr switch. In no time they were up and running on the .NET Framework. Without adding any additional binaries and simply by including the appropriate header files, managed C++ and native C++ can call each other without any additional work on the part of the developer. The compiler handles the creation of the appropriate thunks to go back and forth between the two worlds.