Howdy! I'm Michael Stanton, and I work on the CLR dev team. Specifically I lead the Quick Response Team, and we look at some of the most godawful stress failures you can think of from various labs inside Microsoft. We also look at customer issues in conjunction with Product Support Services (PSS). What I intend to share here is my bag of tips and tricks for debugging in managed processes. Primary tools are WINDBG (or it's cousins CDB and NTSD), and SOS.DLL, our team's debugger extension with a set of nifty CLR-specific commands.
Until I can get there, here is a tidbit not everyone knows about: in V1.1 of the CLR, you can load SOS.DLL in Visual Studio. First, enable unmanaged debugging in your solution properties. Then in the Immediate Window during a debugging session, just type “.load sos” [edited April 2004 to fix a bug in my steps]. Then type “!help” and you'll see a list of commands you can call, just as if you were debugging in WINDBG.