I thought everyone was familiar with this but it turns out that quite a few developers are living without it:
In VS, under the Debug -> Exceptions menu (Ctrl-Alt-E) you can choose at a per-namespace level how to handle exceptions during debugging. For example- break into the debugger on every SQL related exception, but stop only on unhandled IO exceptions.
Very useful in projects which skimped on error logging code early on (shame on you!) and then got stuck with huge call stacks to debug :)