Prosseek, this is a good question you are asking. I have tested VS options and most of third-party options. From my experience, third-parties tooling are always more convenient whatever the area covered. I agree with Ladislav Mrnka opinions: VS Ultimate provides large feature set out of the box but many features are like "basic implementation".
In more details:
- R# is more subtle and relevant than VS equivalent, when it comes to read, edit and refactor code.
- NCover is as fast as VS coverage, but it doesn't come with the frictionfull instrumentation phase. Also NCover proposes more interesting facilities to harness coverage results.
- DotTrace is faster and easier to harness than VS profiler, both for performance and memory management. There are also interesting alternatives like RedGate ANTS performance and memory profilers.
- TestDriven.NET is more adapted to run tests than VS test integration, especially because it integrates with most of third-party options (as a consequence if you are only using VS tooling, TD.NET is useless).
My opinion is certainly biased concerning NDepend since I am part of the tool team. An objective and measurable fact is that NDepend is 10 to 100 times faster concerning dependency graph and matrix and I encourage you to verify this fact by yourself (NDepend comes with a trial). Also, here you'll find an independent comparison of NDepend versus VS2010 Arch.