I've gotten some questions about how appdomains are handled at the ICorDebug level. Here's some random trivia (this is kind of like the AppDomain version of the random-ICDThread trivia post I did earlier):
A lot of these implications can be inferred by the parent-child relationships in the ICorDebug interfaces.
This talks about what debugging AppDomains look at the platform level (ICorDebug). There's another great discussion to be had about what sort of UI an end-user debugger (like VS) should have to best support debugging multiple-appdomain applications.