Show Next Statement
When you are in the middle of a debugging session it can be easy to get lost. You can switch back to the next statement using the “Show Next Statement” option.
Debugging .NET Code
Pinning the Data Tips
Everyone know that when you hold the mouse on a variable during the debugging you can explore the value inside a data tip. However, nobody knows (me included), that this data tip can be pinned. This is very useful in some circumstances!
Immediate Windows and Intellisense
A another important thing to consider is the immediate windows. You can run complex code and update variables during the debugging session and there is full Intellisense support (using CTRL + SPACE to activate it).
More information on MSDN.
In Visual Studio 2010 there is a specific windows (Thread Windows) that allow you to explore the various threads that are running at the specific point of time and easily switch between them. You can even give a name to a thread in order to be able to later recognise it.
This is available only for Visual Studio 2010 Ultimate. I never tried it but I have to say that it looks awesome. It allows to see the context of the debugging session in a much broader way as a set of interconnected code balls. This tools is extremely powerful and support also multi-threading applications where each thread is represented by balls of the same colour. Finally, it is possible to export the diagram as an XPS file.