Here's an old document on analyzing memory problems. Here's summary -

This document is intended to help you diagnose common CLR performance issues. Over the years we have seen a wide variety of CLR performance issues from our customers. This document tries to classify these issues in broad categories and provide guidance for each class of problems. Many facts mentioned in this document hold for the CLR versions V1.0 and V1.1. If there are differences in behavior between these two versions then they are called out. V2.0 behavior, if documented here, is subject to change.

I think there have been some updates to this document. I'll try to dig out links to this.