Output Window

To write to the “General” output window in Visual Studio, you need to do the following:

IVsOutputWindow outWindow = Package.GetGlobalService( typeof( SVsOutputWindow ) ) as IVsOutputWindow;

Guid generalPaneGuid = VSConstants.GUID_OutWindowGeneralPane; // P.S. There's also the GUID_OutWindowDebugPane available.
IVsOutputWindowPane generalPane;
outWindow.GetPane( ref generalPaneGuid , out generalPane );

generalPane.OutputString( "Hello World!" );
generalPane.Activate(); // Brings this pane into view

If, however, you want to write to a custom window, this is what you need to do:

IVsOutputWindow outWindow = Package.GetGlobalService( typeof( SVsOutputWindow ) ) as IVsOutputWindow;

// Use e.g. Tools -> Create GUID to make a stable, but unique GUID for your pane.
// Also, in a real project, this should probably be a static constant, and not a local variable
Guid customGuid = new Guid("0F44E2D1-F5FA-4d2d-AB30-22BE8ECD9789");
string customTitle = "Custom Window Title";
outWindow.CreatePane( ref customGuid, customTitle, 1, 1 );

IVsOutputWindowPane customPane;
outWindow.GetPane( ref customGuid, out customPane);

customPane.OutputString( "Hello, Custom World!" );
customPane.Activate(); // Brings this pane into view

Details on IVsOutputWindow and IVsOutputWindowPane can be found on MSDN.

Error List

For adding items to the error list, the IVsSingleFileGenerator has a method call void Generate(...) which has a parameter of the type IVsGeneratorProgress. This interface has a method void GeneratorError() which lets you report errors and warnings to the Visual Studio error list.

public class MyCodeGenerator : IVsSingleFileGenerator
{
    ...
    public void Generate( string inputFilePath, string inputFileContents, string defaultNamespace, out IntPtr outputFileContents, out int output, IVsGeneratorProgress generateProgress )
    {
        ...
        generateProgress.GeneratorError( false, 0, "An error occured", 2, 4);
        ...
    }
    ...
}

The details of GeneratorError() can be found on MSDN.