AFAIK it was there even in VS2003 (they are named “Tracepoints”)

Now there are some very cool tricks you can do with them. For example you can write in your trace {EIP = EIP + 4} so you can make the debugger “jump” over the next line of code. “+4″ has to be the value of instructions for your next line of code but that’s easy to calculate that value.

So basically you can (in a very easy way) “comment out” a line of code and have it not executed during your session without recompiling the code.
There are other tricks you can do in there like make loops infinite, or early force of exit loops and basically anything you can do from the immediate window as a “one task” you can do it from here as a “recurring operation”.