I just finished implementing WIVisualizer, a WindowsIdentity debugger visualizer for Visual Studio 2005. It displays important details like:
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Username
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Authentication type
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Impersonation Level
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Account type – System or Guest
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Anonymous or Authenticated identity
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Windows groups the identity is member of
Here’s a screen-shot for the same:

Download from here. To install, simply copy the DLL file to <Visual Studio 2005 Installation Folder>\Common7\Packages\Debugger\Visualizers folder.