ILMerge is what you’re after.
I’m not sure I’d really call this “static linking” – it’s just merging several assemblies into one. (In particular, please don’t get the impression that this is building a native, unmanaged executable.) However, I think it’s what you’re after 🙂
Update: ILMerge is now open source and is also available as a NuGet package:
Install-Package ilmerge