If you want to know about modeling and Agile modeling specifically, take a visit at Scott Ambler his site. He has put some effort in explaining Agile modeling and of much interest are the list of 35 modeling artifacts. He described the artifacts and provides examples for every one of them. Quite some information, that can also be quite handy when you just need to look up some stuff.
It now is just an issue of what tools to use when you want to draw these. Unfortunatly only very few can be drawn in Visual Studio Team System. But for the smaller projects, I still prefer Visio with Pavel Ruby’s Visio UML Stencils.
Here’s a complete list of the modeling artifacts described: