In Silverlight 3 you have the option to create out of the browser applications. You can read more here or see more here.
At the Microsoft UXV days at Vitra, I had the question if it was possible to debug these out of browser applications. Off course the answer was yes, the only thing that you have to know is that the out of browser application is started by the sllauncher.exe of Silverlight. You can find this one in the Silverlight folder in the Program Files:
So when you are in Visual Studio, you can attach to this process ( in the debug menu of visual studio) and start placing breakpoints in you code: