I use WinDbg on a regular basis for debugging a very large mixed mode application. I find that the options for digging into the runtime details, the heaps, threads, and so forth are very useful. Several of the options are hardly supported in VS, so WinDbg is really useful in that context.
The biggest problem with WinDbg is probably its long and steep learning curve, but once you have a grasp of the basics I find WinDbg a lot easier to use than VS for many tasks. I have used it for some years now and I still learn new stuff on a regular basis.
The current version of WinDbg + SOS does not support source level debugging for managed code. If you really need this try to locate version 6.7.5. For additional details see this post: http://voneinem-windbg.blogspot.com/2007/04/windbg-6750-released.html
The next version of SOS (for .NET 4) does support some source level debugging, as it is able to extract source file and line info for managed call stacks and disassembly (using the !u command).