There are some intriguing things about macros. One of them is how to add a custom assembly to the Add References dialog of the Project Explorer of the Macros editor. I have documented it in this article:

HOWTO: Add a custom assembly to the Add References dialog of Visual Studio macros editor
http://www.mztools.com/Articles/2007/MZ007.htm

Other one that I had noticed is that apparently breakpoints on environment event handlers (such as BuildEvents) are ignored. I have discovered that Craig Skibo documented how to debug event handlers it in the Wiki part (Community Content) of the MSDN documentation (http://msdn2.microsoft.com/en-us/library/h9b001cb(VS.80).aspx):

“To debug an event handler, set a breakpoint on the line of code within the event handler where you want execution of the event handler to break. Then, place the editor caret ourside the body of a function, subroutine or event handler, and press F5 to set the Macros editor into debug mode. Perform a task which would cause the event handler to be fired.”