There's a new window called "Exception Settings" that appears in the lower right pane by default when you begin debugging. It has all of the options you would expect.

You can bring it up with CTRL+ALT+E

This allows you to cherry-pick which exceptions cause a break in the debugger.

The key, though, is that you can also set whether these exceptions always break, or only break when it's an unhandled exception -- but setting this is not very intuitive.

You will need to first check "Enable Just My Code" under Tools > Options > Debugging.

This then allows you to right-click the column header (Break When Thrown) in the new Exceptions Settings window, and add the "Additional Actions" column, which then allows you to set each exception as "Continue when unhandled in user code".

So just right-click an exception or an entire group and disable the "Continue when unhandled in user code" flag. Unfortunately, the "Additional Actions" column will show up empty which is the same as "Break when unhandled in user code".

More on this here:

http://blogs.msdn.com/b/visualstudioalm/archive/2015/02/23/the-new-exception-settings-window-in-visual-studio-2015.aspx

I had the same issue and I managed to solve this by doing this -

1. Press Ctrl + Alt + e to bring up the Exception Settings window.
2. Tick Common Language Runtime Exceptions.

That's it!

I was inspired this post since I am using a x64 version of Windows.

For googler that wants to break only when the exception concerns their code, there is an option in Visual Studio 2015: Options->Debugging->General->Just My Code. Once checked, it allow to do not break when the exception is managed (thrown and catched) outside your code.