Here is a nice little tweak for Visual Studio 2005:
In a debug session with the default settings, you can only see “External Code” in the call stack for the Windows/.NET code base. If you go to Tools -> Options… -> Debugging -> General, and unselect “Enable Just My Code”, you can then see the entire call stack.
There is one caveat however: if you enable this option, VS gets a lot dumber about stepping into your code, so you have to set breakpoints very extensively.