Firstly who hasn't checked out TypeMock.NET http://www.typemock.com really should, this is by far the easiest to use and advanced mocking framework I have used.
There are, however, a few kinks...
From time to time you may find you get an ExecutionEngineException exception whilst debugging code in Visual Studio 2003 (Haven't checked 2005). To be honest this is not too surprising considering the magic that is going on under the scenes with typemock and to be fair these types of issues are rapidly being fixed in frequent updates.
A complete rebuild of your solution will often make this issue go away, however if the problem persists it may be better to simply disable the Visual Studio integration and run TypeMock based tests outside of the IDE.