Resharper and Test Driven .Net both have this feature in their visual studio test-runners. There may well be other VS plugins too.
According to this answer (By Jon Skeet no less) it is possible in Visual studio natively too. To debug a single test:
Click on a test method name, then press Ctrl+R, Ctrl+T. (Or go to Test / Debug / Tests in Current Context.)
EDIT: (based on a comment from Justin R below) to run a test (as opposed to debugging it) the command is simply:
Ctrl+R, T