In Visual Studio we ship a .NET allocation profiler feature that is documented on MSDN here, here, here, and here. Note how this feature was available in the Premium edition of Visual Studio but as of VS2012 we ship this feature in the Professional SKU!
We have heard from customers that have mismatched expectations on the capabilities and usage of the tool, incorrectly expecting that it is a good tool to help them with memory leaks. In fact, the intent of that tool is to help with bad GC allocation patterns. To demonstrate the intended usage Stephen Toub has written an excellent blog post over on the .NET blog that I strongly encourage you to go over and read: