Tools -> Attach To Process - easy to forget, but with it I can debug script in web pages, managed code loaded up in another process (think an add-in model), or even unmanaged code. Be careful with letting it automatically pick the type of debugging you're interested in.
Tracepoints (and other breakpoint features... right click on the breakpoint and have fun)! - http://blogs.msdn.com/saraford/archive/2008/06/13/did-you-know-you-can-use-tracepoints-to-log-printf-or-console-writeline-info-without-editing-your-code-237.aspx
The immediate window is awesome.
Remote Debugging is very useful if you deploy apps (and can get to the machine where the problem can be reproduced).
There are tons more. Try getting into WinDbg and SoS!
