From time to time I lose breakpoint functionality in Delphi.
I thought this to be a Delphi 2009 issue but now I have also it in Delphi XE.
In Delphi 2009 by
I suspect this happens when you have done a release build, with debug disabled. Then you switch back to debug configuration and do a compile rather than a build. The files where you can't set breakpoints correspond to those with DCUs produced by a compile with debug disabled.
Simply doing a build to re-generate all DCU files will make your breakpoints work again.