Sorry for what seems like it's likely covered in a FAQ/blog somewhere, but my Google-fu is apparently weak. :(
There's a handful of things that the debugging experience in VS 2010 lacks that seems like they're likely to be fixed during VS 11 (at least, IMHO), but it's been hard for me to tell whether they're really on 'the list' or not.
Some that come to mind:
As of the Developer Preview version, VS11...
Don't let any of this stuff put you off, however. There are plenty of new features in VS11, and there's still a year before it's released anyway. Who knows? They might decide to add support for one of these.
Also, by the way, it is very unlikely that they will support Edit and Continue with lambdas / LINQ / anon delegates in the future. Why? Well, it has to do with the way that these language constructs are converted to IL. They may seem simple in a CS language file, but even the most basic lambda expression (something like i => i + 1) is actually converted into a hidden class at compile-time. This goes beyond the scope of Edit and Continue. If you're interested, create a very simple program that uses lambdas or delegates, compile it, and open it up in .NET Reflector. (http://www.reflector.net/. You can get a 30 day trial if you don't want to buy it.) Select the language as "IL" and try to make sense of it!