Debugging in .NET 4.0 has become a bit easier as well thanks to better support for dump debugging through Visual Studio. This means that dump debugging now has support via ICorDebug, which is the same API that is used to enable live debugging and will also allow you to debug Windows Error Reporting mini-dumps in Visual Studio.
If you develop 64-bit applications, 64-bit mixed-mode debugging now supports both live and dump debugging.
There are also new APIs to do lock inspection, which allows you to determine what object is holding a lock and who is waiting for that lock. This will become increasingly important as we move more towards the world of parallel programming.