Jan Stranik is on MSDN TV talking about MDbg, the managed-debugging sample written in C#.  See the video here.  Jan wrote most of MDbg, and handle a lot of hard problems about getting a working debugger in managed code.

He gives a brief overview of managed-debugging and of Mdbg's architecture, including how Mdbg layers things on ICorDebug.
He also has the following demos:
1. creating an MDbg extension.  (I blogged about that here)
2. using the mdbg wrappers in your own tools. (Kind of like a combination of enumerating all processes, attaching to them, and listing their modules).

Check it out!