So it looks like this isn't a thing right now in VS Code.
If anyone wants to show their support for the development of this feature, I found this open issue here: https://github.com/microsoft/vscode-python/issues/7063
The interactive shell looks like a good start. Right click the .py file in your explorer. You'll be able to view pandas dataframes from there.
It seems like currently you can do it only using the Jupyter notebook in VS Code, using the variables explorer.

You can now print the DataFrame in the DEBUG CONSOLE:
From the Github issue mentioned in @Christina Zhou's answer.
My solution for viewing DataFrames in a tabular format while debugging is to simply copy and paste them into an Excel spreadsheet using
df.to_clipboard()
from the debug console. Even some of my colleagues running PyCharm are using this technique, since it gives you way more flexibility to inspect your data.
Microsoft VSCode team finally made this feature available with latest update of the product. More details could be found in official blog
It works like a charm and is very intuitive. In short:
Run menu at top have Start Debugging option)VARIABLES panel. (VARIABLES panel is inside Run and Debug area)View Value in Data Viewer. TADA :)you can use the view() function from xlwings library. It will show you the DataFrame in Excel:
import pandas as pd
from xlwings import view
df = pd.DataFrame({'A':[1,2], 'B':[3,4]})
view(df)
A better way would be to convert the function to pandas method:
from pandas.core.base import PandasObject
PandasObject.view = view
now you only need to type:
df.view()