I found this blog post from Shawn Burke to be very useful. Comes in handy if you have to step through .NET source when debugging.

http://blogs.msdn.com/sburke/archive/2008/01/16/configuring-visual-studio-to-debug-net-framework-source-code.aspx

Another helpful post is to load sos from Visual Studio which is explained here:

http://blogs.msdn.com/vijaysk/archive/2007/11/15/sos-your-visual-studio.aspx