I bake all the time! I often bake very bad things & take them to work or give them to my Husband to take to work. I also make yummy healthy treats by swapping a few ingredients.
I made a mango & lime cheesecake, cut it into slices then froze it. If I am tempted I still have a good 45minutes to wait!
If you have no issues with artificial sweetners you can use an artificial sugar, like equal (the granules not the tablets), instead of castor/white sugar. You can swap cooking butter with low cal margarine & full cream milk with skim, use wholemeal flour instead of plain.
You can make meringues which are only a few calories each (depending on size) by beating 2 egg whites with 1/2 cup of castor sugar & a few drops of vanilla essence. Use my "equal" tip & it will have even less calories.
I recommend most diabetic cook books as they're often low calorie & low fat as they are lower in sugar. Also look for recipes with lots of healthier ingredients, museli, oats, fruit & nuts are great. If you mix them with honey & wholemeal flours etc you an get quite a nutritious treat!
Look at the portion size carefully, if the recipe says it makes 12 muffins but you make 6 mega muffins it will have twice the calories & fat than stated.
Precutting a round cake into slices also helps, if you have a cake that you used to cut into 8 or 10 try cutting it into 12 or 14 slices. Most people are happy with "one slice" no matter what the size.
Another tip is to make something like a chocolate cake exchanging some or all of the ingredients as above & instead of making a frosting serve it warm with a small scoop of low-fat/cal vanilla ice cream.
At the end of the day though sometimes you have to treat yourself, If I really want cake I'll plan a long jog or just a light salad for lunch. I realise this means I don't always give my body perfect nutrients but sometimes I need a treat and just want to limit the damage!