Big guns - Debugging Tools for Windows
This is an amazing collection of tools. You can analyze both managed and unmanaged heaps with it and you can do it offline. This was very handy for debugging one of our ASP.NET applications that kept recycling due to memory overuse. I only had to create a full memory dump of living process running on production server, all analysis was done offline in WinDbg. (It turned out some developer was overusing in-memory Session storage.)
"If broken it is..." blog has very useful articles on the subject.