I had an annoying problem of the Local variable debug window disappearing during debugging. When the VS2005 debugger was started the window was there but when I clicked on another docked window the Locals window disappeared.
Turns out that there were 2 sets of docked panels in the IDE. I figured this out by auto hiding the docked window that was visible during debugging. There was 2 sets of tabs below the auto hidden window. I then redocked all the tabs to the same area.