I would like to control options on the debugger without using the debugging GUI's, preferably from inside the code being debugged. I would think that would be quite difficult, but maybe my debugged code can request a service from independent code that will communicate with the debugger.
This relates to another question of mine on controlling when to break on exceptions.
I know that you can do it with WinDBG and OutputDebugString, but for Visual Studio, I think you have to spool off another process, pipe commands to that, and have that manipulate the Debugger API.
You can write Visual Studio macros that can do anything the GUI can, but they can get rather involved. See the MSDN documentation on Automation and Extensibility for Visual Studio
Doing this from the code being debugged would be tricky, you would definitely need some new form of communication with VS, maybe a custom add-in. I don't think an independent service would fundamentally help here. The biggest problem is that your code will stop running when the debugger breaks.