Whohoo!
Ok, so the reason debug mode was exceptionally slow was because Visual Studio's Intellitrace was recording each ADO.NET event ( all 20, 000 of them ) generated by Entity Framework.
So Tools-> Options -> IntelliTrace and Uncheck "Enable IntelliTrace" fixed the issue.
Or one can also just filter out the ADO.NET events by going to Tools->Options -> IntelliTrace -> IntelliTrace Events and uncheck ADO.NET
Thanks for everyone's suggestions.
A section here talks about Will Intellitrace slow down my app
How to Filter IntelliTrace Events