One of the most annoying things about writing add-ins for Office is that it tends to swallow any and all errors that occur. All exceptions are silently thrown into the trash heap without even a statusbar flag. Nothing. This meant that we often had to add messageboxes for debugging, or Debugger.Launch to see what's going on.
At first I thought that Word 2007 was no different, but then I was idly browsing through the Word Options dialog and discovered a wonderful prize - a checkbox called "Show add-in user interface errors". Quickly checked and lo and behold - exceptions in my code are shown by Word! Life is good again!
So in case you've missed it too (and it's easy to miss), it's under the Office/File menu -> Word (or Excel) Options -> Advanced:
Enjoy!