It seems that WCF diagnostics is not available in SL. Is it because of limited System.Diagnostics support or something else? Anyway, how do you track client-side WCF issues when server-side diagnostics is not enough?
This is how I solved my problem of correctly obtaining exceptions at the Silverlight Client. Similar to Rus' but does not require wrapping of exceptions. Though it does require the version number to be exact in web.config (still working on solving that)
http://stackoverflow.com/questions/1466462/programmatic-configuration-of-exception-sending-in-wcf
If you're getting a 'Not Found' Error the most likely cause is the cross domain access policy. What I use to try diagnose those problems is Fiddler2, and look at the raw traffic.
Are you sure that your WCF service is not faulting on the call? If something is going wrong on the server-side the returned message will be of HTTP status code 500. Due to security restrictions, the browser will not pass any non-200 messages back to the silverlight plugin which results in silverlight throwing the classic CommunicationException "The remote server returned an error: NotFound."
There are some pretty well documented work-arounds for using a WCF behavior to change the HTTP status code on the fault from 500 to 200 so silverlight will actually have access to the details of what went wrong. More info here:
http://msdn.microsoft.com/en-us/library/dd470096(VS.95).aspx
http://www.netfxharmonics.com/2009/07/Understanding-WCF-Faults-in-Silverlight-3