I've just discovered advanced debugging in Visual Studio using SOS.dll. It can be used to get information about the garbage collector, objects in memory, threads and locks, call stacks and more.
See how to use mixed-mode debugging and SOS.dll.
See also Using SOS in the SDK and this article from MSDN Magazine.
I grouped the links to my articles onto a dedicated page so anyone can find them all easily.
My latest article is now available in English: "Choosing an object-relational mapping tool".