Visual Studio tools

As mentioned, newer versions of Microsoft's Visual Studio contain their own integrated profiler, thread, and memory analyzers. Some commercial Visual Studio versions also contain support for automated code instrumentation. The integrated profiler shows a very nice CPU performance diagram, where you can zoom in on a suspiciously-looking diagram section and show the usual function hierarchy and other views for this section only. You can see an example CPU profiling overview in the next screenshot:

There's also the commercial GlowCode profiler, which integrates neatly with Visual Studio, uses just-in-time instrumentation, has a very small runtime overhead, and, additionally, contains a leak detector.