I see this coming up on the XNA forums a lot, and I wanted to fire out my recommendation.  First, I find enabling unmanaged debug spew in VS is pretty slow.  I'm also a multi-mon fanatic, trying to chain as many monitors as I can to a single PC.  So I like to have some flexibility with window placement and memory.

I highly recommend the Sysinternals tool DebugView, which pretty much does everything I could ever want in a debug viewer.  I find unmanaged spew to be essential for anything going though Direct3D, so a good debug viewer is essential.  I also use System.Diagnostics.Debug for runtime spew when I'm testing bits to give me text feedback without have to draw stuff on my screen or use a command window for console.write spew.