Did you try setting the debugger to break when the exception is thrown instead of just when it is User-unhandled?
To do this go to VS2010 main menu and select the 'Debug' menu Next select 'Exceptions...'
That will bring up a dialog like: Exceptions.. menu">
Select the Thrown column
Now when your exception is thrown and you should be able to evaluate your local variables in the Immediate window.
In the Locals tab I can see the $exception variable:
I'm able to use the "$exception" variable in the immediate window:
Update: Also for easy toggling of Exception handling I recommend using the Exception Breaker Visual Studio Extension, which allows you to toggle break on exception handling on and off from the tool bar instead of having to drill into the Debug menu.