The documentation for all the pieces and enhancements made to the VS Debugger automation model over the years is spread throughout the MSDN web-site. Here's a list of start points, for each set of enhancements that were made, starting from Visual Studio 2003 through 2008 SP1:
VS2008 SP1: http://msdn.microsoft.com/en-us/library/envdte90a.debugger4.aspx
I'll leave perusing the docs as an exercise to the reader for right now. But suffice it to say, there is a lot of stuff to play with here, including the ability to setup exception handling, change debugger options, know when processes start or end (that are already being debugged), change symbol settings, and more!