This appears to be a known bug in Visual Studio. But Microsoft guys were not able to reproduce it:

http://connect.microsoft.com/VisualStudio/feedback/ViewFeedback.aspx?FeedbackID=88489

I encountered it when my VS 2008 SP1 was idle for a considerable amount of time, hanging minimized in the task bar. Standard close/reopen VS did not help. There were no strange processes in Task Manager either. After some failed commands (same error), I found a workaround for this issue. Here is what I did:

1. Put the breakpoint somewhere in code.
2. Started the application.
3. Executed some immediate command.
4. Closed the application.

And these steps solved the problem. Immediate Window became functional without a need to start the application, just as it should be. I suspect that while my Studio was idle for a considerable amount of time, garbage collector did its job and took some vital part of in-memory data. No facts, just a guess. Anyway, if such thing happens again, I will try to get more information about it.