Vance Morrison, Performance Architect on the Common Language Runtime (CLR) team writes and maintains a very powerful tool called PerfView that harnesses the power of Event Tracing for Windows (ETW) data produced by the CLR. The tool can be download here.
Although he had previously published some tutorial videos as a ZIP download on his blog, those videos have now been published in a more accessible way as a PerfView tutorial series here on Channel 9.
Ben Watson has also just published a very nice article on PerfView following on from his previous article outlining 4 essential tips for high performance GC on servers.
For more in depth understanding of .NET Memory management and garbage collection check out the free eBook I mentioned in my blog post the other day and also the whole series of blog posts about the GC by GC developer Maoni which I created an index for here.