Visual Studio: debug multiple projects at the same time?

Yes, it is possible. You can set multiple startup projects in your solution (right-click solution, go to Set Startup Projects, choose Multiple startup projects), and specify the action for each project contained in the solution (None, Start, Start without debugging). If you have multiple projects set to Start, the debugger will attach to each one as it launches.

When you hit a breakpoint, you can see which process you're in using the Debug Location toolbar (you may have to show it; some profiles hide this by default). It will show which process you're currently looking at, which thread you're on, and which stack frame you're in:

I believe the default behavior is that when one process breaks, the debugger will break all of them. This way you can check the state of any attached process when you hit a single breakpoint.