The bug in the VS debugger that has been a thorn in my side for well over a year is now fixed in the next version of VS! If you're a religious VS developer, I'm almost positive you've hit this bug before, although you may not have noticed. The bug in Whidbey is basically that "Set Next Statement" in the right-click menu is broken when your cursor is at the end of a line. In reality, it thinks the insertion point is on the next line, so it tries to set the next statement there, instead.
This bug can manifest itself in one of two ways. If the line after the line your cursor is on is a valid breakpoint line, then the next statement will be set to that line. If this happens to you once, you will probably just think that you mis-clicked, and you will simply attempt to set the next statement to the previous line again. However, if the next line is not a valid line for a breakpoint, then you will see an error message saying, "unable to set the next statement to this location."
Here's an official MS knowledge base article on the issue, as well. http://support.microsoft.com/kb/919808
This bug really bothered me, because it made me change the way I do work. Anytime the tool makes me conciously do something differently than what I'm used to doing, it's a bad bug. I was unable to convince the triage team for Whidbey, however =(. The good news is, after fighting for this bug off-and-on for over a year and a half, it will now be fixed in the next version!