There isn't anything I know of that will record every value ever assigned to every variable in your program in case you want to look at it later. It is possible with VS2010's historical debugging abilities to look at "values from the past" although I haven't used this yet, so I don't know if that ability extends "beyond death" of the process.
You may also be able to use tracepoints (VS2008 and later). These are like breakpoints, but instead of stopping execution they simply print information to the debug output. So you could add a tracepoint for a variable so that each time it is changed its value is reported (basically the same as printing the values out in your code, but you don't have to change your code to enable them, and can add them while your code is executing).
Two simple approaches that will work for pretty much any dev environment are:
Write the values to an application log each time they change, then read the last reported entries. If you realise you need 5 values from all around the program, simply printing them to the debug output will only take a few seconds to add to your program. (If you can't do this easily, then you're not encapsulating your data very well).
Put a breakpoint on the destructor of the class you're interested in, or at the start of the shutdown process just before you destroy the objects, or the last line of code in your program (for statics) (etc) and just use the debugger to drill down into the data.