Quick Tip: Read the Inner Exception!
That's often where the real problem is.
Another short tip, but, potentially the best one you'll ever get (at least, from me).
When you're debugging and you get an exception, always, always, always click on the View Details link to open the View Details dialog.
If the message in the dialog isn't expanded, expand it, then scan down to the Inner Exception entry. Sometimes it's null, but more often than not, that's where the original problem (and the one you have to fix) is described.
In fact, it's often worthwhile to expand the Inner Exception and read its Inner Exception property.
More Practical .NET Debugging Tips from Peter Vogel:
Peter Vogel is a system architect and principal in PH&V Information Services. PH&V provides full-stack consulting from UX design through object modeling to database design. Peter tweets about his VSM columns with the hashtag #vogelarticles. His blog posts on user experience design can be found at http://blog.learningtree.com/tag/ui/.