So, I'm posting this a reference. Key changes I had to make are below, with the various source links down the bottom.
Web Sites > Properties
(1) Tick 'Enable HTTP Keep-Alives'
(2) Tick 'Cache ISAPI extensions'
(3) Edit the '.asp' Application extension and add DEBUG to the 'Verbs' section
(4) Tick 'Enable ASP server-side script debugging'
Cache Options 
(5) Select 'Cache limited ASP files in memory' and set it to '1'
Edit 'Authentication and access control'
(6) Tick 'Integrated Windows authentication'
 Note that 'Cache Options' can only be set at the root 'Web Sites' level (as far as I know).
(7) Tick 'Script'
(8) Add the FQDN of the site you are debugging as a trusted site
RegEdit (May be needed on Win2003 SP1, requires a reboot to take effect)
(9) HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Lsa\DisableLoopbackCheck, DWORD, 1
a) JIT debugger kicks in, but VS can't find your ASP 'debug symbols'? See #5. It seems like the ASP debug symbols must be held in the IIS cache.
b) Receiving an 'unable to find webserver' error? See #9.
VS.NET Debugging Whitepaper
MSDN VS Debugging Reference