This is probably one of the 101 reasons why Java is better than C#, but Java's IDEs are definately ahead of their .NET counterparts. Hoping for something similar to Eclipse, I started out using SharpDevelop as my C# IDE, but quickly grew frustrated with the many bugs in the product. Since the standard edition of Visual C# costs less than $100, I decided to buy a copy for personal use. While it was definately worth the money, Microsoft still has a long way to go before they're on par with my favorite Java IDE: IntelliJ IDEA. Most importantly, there is no refactoring support at all!
Any IntelliJ developer would probably laugh at this rather pathetic list of favorite Visual Studio .NET shortcuts. And this is from one of the better .NET weblogs out there, so I'm sure this is VS.NET's fault, not the weblog authors. Microsoft has a history of getting things right after a few versions however, so I hope that the next major release of VS.NET will have extensive refactoring support.
IntelliJ IDEA costs about half a grand, though, so it damn well better be more fully featured than VS.NET C# Edition! ;-)
(PS: I've had a go, and I do like it, especially the refactoring facilities, though the UI's a bit less responsive (even) than VS.NET))