Tess really has the best blog I've seen that discusss how to investigate runtime issues with ASP.NET. She is an escalation engineer at Microsoft whose team is dedicated to helping debug and solve customer problems. I blogged about some of her great posts back in February here. If you haven't subscribed to her RSS feed -- you should!
Earlier this week she wrote another great one about debugging unhandled exception errors using both the WebMonitor.UnhandledExceptionModule that you can download from Microsoft (see her blog for details), as well as using WinDBG (a runtime debugger). You can read all about it here.
Hope this helps -- and thanks for all your work Tess!
Scott
P.S. Note that if you get stuck trying to debug something you can always give PSS a call -- they are there fulltime and have a ton of engineers who will help you debug your server (take memory dumps of the process, identify deadlocks, spot resource contention issues, etc). Too often I sometimes hear people say "I spent a few days trying to figure out this weird issue in my code under heavy load" -- your time is valuable so don't waste it. PSS escalation engineers are experts at debugging hard to find server code issues, and can really help shorten this time down and help you figure out what is going on in your code. Alternatively you can just read Tess's blog and learning all the tricks and low-level debugging skills from there.