While developing Presto's Sidebar Clock and other Windows Vista sidebar gadgets, I've struggled with debugging. Numerous web sites say that you can use Visual Studio to debug errors, but, up until now, I've never been able to get it to work. And writing any non-trivial gadget really requires the use of a debugger.
I finally figured out that only the professional versions of Visual Studio will allow debugging. I installed a fresh copy of Visual Studio 2008 Professional from MSDN and I'm up and running. It was so easy to set up that I'm mad I didn't get it going sooner. Unfortunately, the documentation out there is pretty abysmal regarding this topic.
On a related note, DebugView is pretty handy for sidebar gadget development as well.