.NET Memory Profiler [via Sam]:

.NET Memory Profiler is a tool for the .NET Common Language Runtime
that allows the user to track all objects that are allocated on the GC
heap. The user can collect snapshots of the GC heap and get
information about the instances allocated on the heap. The information
includes all classes, all instances of classes, the call stacks of the
instance allocations, the path to the root from each instance and a
comparison of consecutive snapshots. Comparing heap snapshots is a
very convenient and efficient way of detecting memory leaks in a
program.