It's inconvenient to have a debugger attached to your device all the time, so why not take advantage of JIT debugging? You'll need to locate eDbgJit.exe (should be found at <VSInstallDir>\SmartDevices\Debugger\target\<InstructionSet>\eDbgJit.exe). Download and run that on the device, and if you are running on a device with a CE OS version < 5.0 you need to soft reset as well. The next time your application AVs, you'll get a popup letting you know that you can attach the debugger. Cradle your device, and from within VS, attach to the crashing process.
Yes, I am attempting to catch up on my blogging backlog.