Actually there is a way. You can use format specifiers in the immediate window to change the format of the display. If you have a string with carriage returns and linefeeds in it ("\r\n") you can follow the print request with the ‘no quotes’ format specifier.
In the immediate window type:
?MyObj.ToString(),nq
and the \r\n will cause newlines in the immediate window.
For more info on format specifiers see:
http://msdn.microsoft.com/en-us/library/e514eeby.aspx