For me, the VS2005 "Extensibility Project"|"Visual Studio Add-In" wizard doesn't produce the expected result -- the add-in doesn't register itself with VS. I've tried this on two machines and it fails on both. Registering an add-in is done via an XML file with a .AddIn extension that (documentation indicates) should be placed in \Documents and Settings\\<User>\My Documents\Visual Studio 2005\Addins and that's where the Wizard copies the file.
Well, on my machines, files in that directory are not picked up by VS2005. However, copying the file to \Documents and Settings\All Users\Application Data\Microsoft\MSEnvShared\Addins works like a charm: debug works, the whole bit.