When working with third party systems, especially very configurable systems that dynamically load providers, controllers, components and so on, I sometimes just want to know
I just made a Visual Studio 2010 addin for this. Check this: http://weblogs.asp.net/uruit/archive/2011/08/04/visual-studio-2010-addin-setting-a-class-breakpoint.aspx
Update
This project now lives on Github. Feel free to contribute.