One thing that irked me when learning Visio 2010 was the mysterious disappearance of the object behavior dialog. The behavior dialog is useful for modifying, well, the behavior of elements within Visio (e.g. which lines show line jumps and what those jumps look like). In previous versions of Visio, it had been accessible via the right-click context menu (after selecting a line or shape) as Format > Behavior.... Alas, this option has disappeared from the context menu in Visio 2010.
In fact, upon initial inspection it appears to have been removed from the application entirely. Only after a good deal of searching did I uncover its hiding place: the developer menu. The developer menu is, of course, disabled for a default installation of Visio. To enable it, select the File tab and click Options. Under the Customize Ribbon heading, click the Developer tab checkbox to enable the developer toolbar.
You should now see a developer tab at top which displays the developer toolbar, complete with a button for the behavior dialog under the Shape Design section.