I've been looking around for sometime, but never found some good information about it. Well, today, I've found some interesting articles (It's not really that new, the article is dated September 15 2008).
It seems that there's a possibility for Unit Testing with SharePoint, you can do it with TypeMock.
The article is found
here.
Here are some other referenced articles that might be interesting.
Gonna try some of these articles. Hope it's worth it.