Good Wired article on the subject [1], especially about Fabrizio Benedetti [2], a neurologist who has mapped the various hormones and mechanisms that underly the placebo effect.
(One fascinating claim mentioned in the article is that in clinical trials, Valium can no longer be statistically distinguished from placebo, possibly due to patients' expectations. This statistical skew in favour of placebo is problematic for a lot of drug research, essentially preventing manufacturers from proving that their drug works.)