Thanks Greg,
I have tried all those, since the problem started yesterday, and it does not happen with other projects I tested today. I even tried setting breakpoints in different classes to see if the problem was caused by specific form class or something else.
I google the problem and found this post http://social.msdn.microsoft.com/Forums/en-US/netfxcompact/thread/45c03ca4-cb86-4be4-95dd-2b0b62241413 by Raffaele Limosani, here is the quote:
I remember something similar for VS2005... probably worth to check anyway: go to Tool->Options->Debugging->General and uncheck “Enable property evaluation and other implicit function calls”.
I disabled that property and now the debug speed seams normal, of course I can not see the values of properties in the code file by hovering the mouse, but I can see them in the "Watch" window. Not a final solution, but at least I can continue working on this project until I found a better solution. I do believe something may be corrupt in this project, but I have not idea where or what to look for.