Way back in July 19, 2011 I added on the, then relatively new, Visual Studio User Voice page Debug Lambda expression feature request. It quickly gain many votes and was sitting in the top few all this time. Microsoft stated that this was a hard thing to do requiring a complete rewrite of their Expression Evaluator. Instead of just saying it was too hard and not important enough, they did get to work. It is available now in Visual Studio 2015 Preview. Full details are given in the Support for Debugging Lambda Expressions with Visual Studio 2015 on the Visual Studio ALM blog.
It has been a long time coming. But I for one am very happy it has come. Well done Microsoft and all who were involved.