Guillaume Laforge and Paul King presented a session at SpringOne2GX on the various techniques for authoring DSLs, and integrating them in your applications.
Guillaume Laforge and John Wilson presented a tutorial on Groovy DSLs at the QCon 2007 conference in London.
Matt Secoske presented a session on Implementing DSLs in Groovy at the OSCON 2007 conference.
Groovy is particularly well suited for writing a DSL: Domain-Specific Language. A DSL is a mini-language aiming at representing constructs for a given domain. Groovy provides various features to let you easily embed DSLs in your Groovy code:
Joachim Baumann wrote an article showing how to implement a small DSL for measurement calculation, which uses some of the techniques like adding properties to numbers, or overloading operators. Guillaume Laforge also wrote an article on representing units using the JScience library.
Andy Glover also plays with internal DSLs in Groovy by producing a behavior testing DSL.
Inspired by an article from Bruce Tate IBMs Alphaworks a couple of samples were written in groovy.
If you have the need to write your own language completely, consider using a compiler compiler. There are many to choose from, e.g. Antlr, JavaCC, SableCC, Coco/R, Cup/JLex/JFl;ex, BYacc/J, Beaver, etc. See wikipedia for an interesting list. Some of these can even benefit from Groovy. Here is a groovy example for JParsec.