Keyboard shortcuts
Ctrl-Shift-V - Cycle Paste buffer. To see how this works, copy some text, the some more, then some more, Now hold Ctrl-Shift and press V several times. Watch what happens with each press.
Alt+W, L - Close all windows. Fastest way I know to tidy up.
Alt+W, W - Go to the open windows list. Useful if you have more windows open than space for tabs on your screen.
Shift-Alt-Enter - Full screen mode. Gives you the maximum space on your screen for Visual Studio. (Note Windows key [i.e. Ctrl-Esc] and Alt-tab still work and WindowsKey-D still closes all windows)
ctrl-f - Find
ctrl-shift-F - Find in Files
ctrl-H - Replace
ctrl-shift-H - Replace in files
ctrl-shift-B - Build Solution
ctrl-shift-F12 - Go to next error
F7 - Switch to code view from Design view (also works in Solution Explorer)
Shift F7 - Design view from code (also works in Solution Explorer)
Multi-Thread, multi-process debugging
Attempting some multi-threaded or multi process debugging (e.g. NEWPWS and controllers), then make sure you show the Debug Location toolbar (Right-click any toolbar and tick Debug Location). It will show you the exe, thread and routine in the stack. If you find that you can't see enough, then right-clicking any toolbar and selecting customise allows you to resize the dropdownlist/combobox controls. - ALSO dont forget that you can freeze threads while at a break point or stepping by through the code. Using the Threads window (Menu->Debug->Windows->Threads), simply right click and freeze on the thread you don't want to switch to. If the code is running then you don't get this choice.
Compilation
You of course already know that Ctrl-Shift-B recompiles your entire solution, in order of the dependencies. (You can set these by right clicking on the solution explorer, but don't forget to check out the solution in Source Control).
Now when you come to fixing errors in multiple projects, you will probably notice that the errors window gets out of order. Theoretically you can fix this by right-clicking and selecting sort by->default. This is great becuase you can then just use Ctrl-Chift-F12 to go to each error in turn.
Its often easier to look at the output window and find (yes ctrl-f and F3 work) the next error, then double click and fix the first one. However if you have errors in multiple projects then may I suggest just recompiling the current assembly. You simply need to define a key to do this, via Tools->Customise. Visual Studio 2005 has mapped ctrl-shift-F6 for this purpose, so simply map the same in VS2003.
Tricks
Open Visual Studio and show the startpage, right click its tab and select dockable. Drag it over to the right, and auto hide it. Close VS. Now whenever you open VS the startpage will scroll in from the right and list the recent solutions, simply click on one and the start page scrolls off until the next time you re-open VS (or click its tab).