I've had this problem the that I've been trying to solve over the last few days and its stopped me from debugging into services (remoting and WCF) in other processes. Every time I went into (in VS2K8) Tools|Attach to Process, and I selected a one of our processes, I got an Access Denied error. There was nothing in the event log, so I really didn't know what to try - except perhaps to reinstall VS, which hasn't worked.
The solution is actually very mundane and is related to the fact the I was attempting, not to do managed code debugging, but something called 'workflow debugging'. I'm not sure what this is but VS tells me it incompatible with managed debugging. I suspect that its TFS related and I was basically attempting to attach the wrong kind of debugger, and since I'm no longer a TFS admin, I suspect this is why I'm getting access denied messages.
To fix this all I had to do was to specify the correct debugger in the attach dialog, by clicking on the Select button and and changing the debugger type.