Jeff Prosise explains how to build custom behaviours. He also gives some background information so it is much easier to understand what behaviours are and when to use it:
Behaviors are pieces of code that a designer can attach to an object simply by dragging and dropping. Blend has a handful behaviors built in, including MouseDragElementBehavior, which you can attach to a UI element to allow it to be dragged with the mouse. Many more behaviors can be downloaded from the Expression Gallery's Behaviors page, and you can write behaviors of your own. They tend to be simple to write, and they do a lot to enhance the power of Expression Blend and Silverlight, too, for that matter.