I want to be able to break on Exceptions when debugging... like in Visual Studio 2008\'s Menu Debug/Exception Dialog, except my program has many valid exceptions before I get to
This is a bit of too late for you, but this is the biggest reason I often try to teach people to use exceptions conservatively. Only use exceptions when something catastrophic has happened and your ability to reasonably continue is gone.
When debugging a program I often flip on First Chance Exceptions (Debug -> Exceptions) to debug an application. If there are a lot of exceptions happening it's very difficult to find where something has gone "wrong".
Also, it leads to some anti-patterns like the infamous "catch throw" and obfuscates the real problems. For more information on that see a blog post I made on the subject.
In terms of your problem, you can turn on first chance debugging for only a specific type of exception. This should work well unless the other exceptions are of the same type.