The data tips feature is available since Visual Studio 2005. When the debugger is in break mode, they allow viewing the content of variables and object by simply passing the mouse pointer over the object we want to analyze. In Visual Studio 2010 this feature has been extended with a new functionality known as sticky data tips. Basically you can create some sticky notes containing your comments that you can keep on the editor area while debugging. Let's see now how it works.
Imagine you have a breakpoint in the code and that you want to show up the data tip on a particular variable. As usual, you will see the well known pop-up window appearing. The good news is that now you can see a small icon representing a sheet on the right side of the data tip:
If you click such sheet, a new sticky data tip will be shown up. It's like a sticky note that you can expand to add any comments you like:
Moreover the data tip's content is updated when the object state changes, as you can see in the following figure where the value of fileExtension has changed from Nothing to "exe":

You can also move sticky data tips with the mouse along the code editor. When you do not need anymore the sticky, you can simply remove it by clicking the closure button on the upper right.
Probably you also understood that this new feature is based on WPF (that empowers the most of the Visual Studio 2010 IDE).
Alessandro