One thing that annoys me when debugging programs in Visual Studio (2005 in my case) is that when I use \"step over\" (by pressing F10) to execute to the next line
[Ctrl+D, T] or [Ctrl+Alt+H] - Opens the Thread Window (used to monitor, freeze and name threads)
The thread window allows you to select if you want to show the location of the other threads in visual studio. That is a good reminder to me that the current thread I am debugging is not the only one in play. Hovering over the thread marker gets you the threads name and id.
More tips found at: http://devpinoy.org/blogs/jakelite/archive/2009/01/10/5-tips-on-debugging-multi-threaded-code-in-visual-studio-net.aspx