This has got to be one of the top FAQs out there: how do I set up a kernel debugger?  I just stumbled across a link on MSDN which gives instructions not only on how to set up a kernel debugger on all transports (serial, 1394, usb2), but also how to set up a user mode debugger or how to attach to a virtual machine. Pretty cool.  This used to be an internal web page at Microsoft (and I think a topic in debugger.chm), it is great that it is now public

The MSDN topic is Starting the Debugger. Add it to your bookmarks and maybe we can create room in the FAQ for another question ;)