I don't recommend this for XML Web Services (unless you're very patient).  The way XML Serialization decides that it needs to generate an assembly for the serialization of a type is that when it tries to first access the assembly it gets a file not found exception.  Of course, it needs to regenerate those assemblies after you do a build, so when you debug a web service to spent some initial time skipping pass several handled exceptions before you even get to your code.

This also fires some extraneous BindingFailure MDA alerts when you turn on the BindingFailure MDA.  Very much a PITA.

Yes, it's very convenient way to discover bad code :-)

Additionally:

Tools>Options | Debugging>General option "Enable Just My Code"

If you check it then ony "yours" exceptions will be handled, otherwise ALL exceptions including framework ones.

It's true, unfortunatelly XML Serializer, WebServices, WCF seems to be using exceptions as flow controllers :/

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Neat stuff. The VS debugger is such a powerful tool. Aside from this, it is useful to have an exception trapper in your main thread that will trap all exceptions of member objects and variables and log them.