I read this, and I'm hooked! Visual Studio drives me mad when it snatches focus back when you hit a debug breakpoint.
Put a breakpoint in your code, right click the red circle that appears and choose "When hit..".
You can now choose what to write out to the Output window, the default being the Function name and the ThreadID but you can change this to whatever you want including a number of special keywords such as the previous function name, PID, etc and you can even specify a custom macro to be called.
Cool! (Oh and I apologise if it's only me that missed this new VS2005 feature!)