One of the features from VB6 that I'm finding I miss the most is the Toggle->Break on All Errors option.... I've recently found myself in a situation where that would really come in handy. Is it really gone? Or is it just hidden somewhere I haven't looked yet?
edit - I'm using VS2005.... haven't had the chance to play with VS2008 yet to see if it's in there.
Under the Debug menu there is an Exceptions item that opens a dialogue allowing you to configure the behaviour of the debugger when different types of exceptions are thrown.
Here's a step-by-step how-to on it (for VS 2003, but also applicable to 2005): How to Stop on First Chance Exceptions
As this is more of a technical support topic I have taken the liberty of moving it from the Slow Chat forum to Visual Basic .NET.