PDB files in Visual Studio bin\debug folders
First off, never assume anything. Clean the solution, rebuild it in debug mode, and check to see if all PDB files are created. If not, that's your problem.
If they are created, and they're not all getting copied, you can get around this by creating a post build event that manually copies the PDB files to the desired locations. This is just a workaround, of course.
The only other thing I can think of is that your solution file has become corrupt. You can open your .sln as an XML file and examine the contents. Check the configuration for the projects that are acting as expected and compare them to those that aren't. If you don't see anything, you have to repeat this at the project level. Compare working .csproj (or whatever) project files and the non-working ones.
Edit in response to edit:
If you're just manually copying stuff around, then manually copy the PDF files as well. DLL files shouldn't "know" anything about PDB files, I believe. Just stick them in the destination directory and go have a cup of coffee. Relax.
From MSDN:
A program database (PDB) file holds debugging and project state information that allows incremental linking of a Debug configuration of your program. A PDB file is created when you compile a C/C++ program with /ZI or /Zi or a Visual Basic/C#/JScript .NET program with /debug.
So it looks like the "issue" here (for lack of a better word) is that some of your DLLs are being built in debug mode (and hence emitting PDB files), and some are being built in release mode (hence not emitting PDB files). If that's the case, it should be easy to fix -- go into each project and update its build settings. This would be the default scenario, if you haven't done any tweaking of command line options.
However, it will get trickier if that isn't the case. Maybe you're all in release or debug mode. Now you need to look at the command line compile options (specified in the project properties) for each project. Update them to /debug accordingly if you want the debugger, or remove it if you don't.
Edit in Response to Edit
Yes, the DLL files "know" that they have PDB files, and have paths to them, but that doesn't mean too much. Copying just DLL files to a given directory, as others have mentioned, won't clear this issue up. You need the PDB files as well.
Copying individual files in Windows, with the exception of certain "bundle"-type files (I don't know Microsoft's term for this, but "complete HTML packages" are the concept) doesn't copy associated files. DLL files aren't assembled in the "bundle" way, so copying them leaves their PDB file behind.
I'd say the only answer you're going to have is to update your process for getting the DLL files to those central locations, and include the PDB files ... I'd love to be proven wrong on that, though!
As other posts have said, you may have a compiler/corruption issue.
But, as Will said, if the PDB files are being created, but not showing up where you want them, create a post-build step. Here is the post-build step I define for every project in my solution. It makes sure all output files are copied into a common directory.
If your project file is in \SolutionDir\ProjDir, then the first line of the post-build step will copy the output files to \Solution\Bin\Release or \Solution\Bin\Debug. The second line copies the PDB file if this is a debug build. I don't copy the PDB file for release builds.
So, \SolutionDir\Bin now contains all your output files in one location.
xcopy /r /y $(TargetPath) $(ProjectDir)..\$(OutDir)
if $(ConfigurationName) == Debug xcopy /r /y $(TargetDir)$(TargetName).pdb $(ProjectDir)..\$(OutDir)
Check when you clean the solution, that it is actually cleaned.
I've seen Visual Studio leave files hanging around in bin\debug directories even after cleaning. Delete the bin\debug directory on all of your projects and rebuild.