Locals window: It shows data in the scope. Instead of adding a watch, open the locals window, it will show the objects within the method up to the statetement executing.
Watch and quickwatch: enter a variable name, or right click them
Call stack and Threads: to understand the context, click any methods in the stack and the corresponding file will open. When using the thread window, keep in mind that on a signle cpu, one thread is active at a time, their can be many in the list, but only one at a time is active. The active thread is the thread that is currently able to run, it's possible to select another thread and switch to it, freezing prevents execution, thawing allows execution.
The exception assistant puts in break mode and allows to check values of variables. To view possible exceptions, go to Debug->Exceptoions, and check the exception you want to break on. From the exception assistant, open the view detail link to view the properties window.
Debugging stored procedure: Debug from any project or use a database project, the advantage of a database project is it's integration to team foundation. Debugging sql server implies entering a secured environment, you will need access to debug a stored procedure(be an admin on the sql server if using Sql login), make sure to unblock firewall ports. If using windows auth to connect to sql, the user must have stored procedure permissions(sp_enablesqldebug) thats a system stored procedure on sql server.
To debug a stored procedure, open the server explore, then the sql server, and open the stored procedure. Set a breakpoint, right click the in the source file and choose step into the stored procedure, a model window shows up to provide valid parameters values. In the same way as managed code, when debugging sql you can open the locals window, and call stack. The output window will display the results of the stored procedure.
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