I was having this problem in my new job, where we use Visual Studio 2008 SP1. (Yes, I know, I know). Long delay on step with flickering hourglass. I always use F10, I don't even think about it, there's no way I could tolerate changing to the mouse or waiting multiple seconds for a simple step command.
I read through all the solutions provided here and elsewhere on the net with no joy.
Finally found the issue - I had set up my default language for the IDE as C#. It turns out the project I'm working on actually uses VB.NET, and when I set the default language to VB.NET (via Tools - Import and Export Settings) the debugger got so fast that I couldn't keep up with it and accidentally pressed F5 on the breakpoint I want to examine.
I hope this helps someone else.