Yes Martin - we hear you. These are all well known issues and there are plans in the works to significantly improve the tools experience for script.
The issue with the Script Explorer is especially frustrating. Usually if you can get it to open another file (e.g. the aspx page), then click the webresource, it'll work.
The issue of it losing breapoints when it reloads is a pain too. I think the fact that all the files are named WebResource.axd is what confuses it.
There is also the issue of not being able to set a breakpoint on the first line of a function (you get the whole function).
As David mentions, using ScriptPath to debug your components helps alleviate all of this pain. It also allows you to modify the script without having to rebuild the project. I rarely debug against the AXD's anymore since it's so much easier to copy the JS file and use ScriptPath, then copy it back when I'm done.
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