Today I upgraded my solution with all the underlying projects from VS2008 to VS2010. Everything went well except for my unit tests.
First of all only the web project
Press Ctrl+Alt+E and check the break on exception setting for CLR exceptions. If this is set to true then the behavior you described will occur.
I second what rlandster said. Clearing the "Enable Just My Code" debugging option fixed this for me. It fixed both breaking on assers and breaking on expected exceptions. There's a little more detail on this at http://social.msdn.microsoft.com/Forums/en/vsdebug/thread/25bdf149-5133-4f47-bbf2-1d4ca638fee9.