I can attach the debugger and get it to break - but it has trouble finding the .cs file, I think LinqPad deletes it as part of its build.. 8-(
If you call
Debugger.Launch();
Debugger.Break();
to initiate the breakpoint within your LINQPad script, LINQPad will guess that you want to use VS to debug your script and won't delete the .cs file.