Tired of using our heads to immagine how a matrix is transforming the space, and not finding very usefull its default representation in VisualStudio debugger ve have created a "visualizer" for Visual Studio 2008 (and XNA 3.0).
What is a "visualizer"? Ii is some sort of plug-in that VisualStudio can use to display a data type in a better format, directly from the debugger.
It helps you to debug piece of code that leverage on complex data type with an improved representation of what you are working on, possibly without going nuts.
Here is the "matrix visualizer" in action.
All you need to have it running in your Visual Studio 2008 is:
Now, when you'll place a breakpoint and you have to inspect a matrix, simply add to the Watch window or hover the mouse on the matrix variable name, then press the little magnifing glass that will appear, the new visualizer popup will be immediatly displayed

The MatrixVisualizer form have on the top a 4x4 matrix-like visualization of the matrix being inspected, also it has additional information like rotation scale and translation decoded out from the matrix data. and finally a 3d window that displays the world origin and the inspected matrix against it.
The axis color code is the following: Red for X, Green for Y and blue for Z. X=0, Y=0, Z=0 planes that pass trough the origin are represented as semi-transparent white planes, while the origin of the world and the origin of the inspected matrix are connected with a yellow line. You can rotate zoom and pan this view by using ALT+mouse click or CTRL+mouse click.
A couple of notes from the author (Duke):
About the rotation: as the rotation depends on the order that the rotations are applied and due to the fact that the inverse computation requires a lot of trigonomety functions, don't expect to see exactly the number you have used to create the matrix(in case of a rotation matrix). I've found this tool quite usefull even if it has been developed in a couple of hours, of course it could be improved and some bugs could be still around. The tool is provided as-is: I'm using it but I do not recomend its use for mission critical purposes, or to send a rocket on mars.
Have fun with it and let me know if you like it!