Seems like you wasted your rep on bounty since this question was asked few times before, for example, in:  
which, as I can recall, had few bounties but had not gotten much further than ref to:   
Or in this SO question:  
with reference in answer to:  
Another similar SO question:  
I found the collection of references on Parallel Debugging (Parallel Stacks, Parallel Tasks) in Visual Studio 2010 by Daniel Moth to be very helpful    
Update:
Having run your code 
using System;
using System.Threading.Tasks;
namespace ConsoleApplication1
{
  class Program
  {
    static void Main(string[] args)
    {
        Foo();
    }
    public static async void Foo()
    {
      await Bar();
    }
    public static async Task Bar()
    {
      try
      {
        //async SomethingToMakeThisMethodAsync();
        //to make this async
        await TaskEx.Delay(2000);//await Task.Delay(2000);//in .NET 4.5
        throw new Exception();
      }
      catch (Exception)
      {
        throw new Exception("This is Excptn in Bar() method");
      }
    }
  }
}
in VS2010+Async CTP debug mode (F5), I clearly see my identifying exception message "This is Excptn in Bar() method":  


Anyway, it is identified as ConsoleApplication1.Program.<Bar> in stack trace (Locals window) even without any additional marking (catching-rethrowing exception with custom message), i.e. having substituted in above code the  Bar() method by:
public static async Task Bar()
{
    //async SomethingToMakeThisMethodAsync();
    //to make this async
     await TaskEx.Delay(2000);//await Task.Delay(2000);//in .NET 4.5
     throw new Exception();
}
I see in stack trace that exception was thrown in ConsoleApplication1.Program.<Bar>:  
+ $exception    
{System.Exception: Exception of type 'System.Exception' was thrown.
Server stack trace: 
   at ConsoleApplication1.Program.<Bar>d__3.MoveNext() in R:\###Debugging\#seUnmangling (pre .NET 4.5) asyncawait stack traces\AsyncConsole_Sln\1Cons_Prj\Program.cs:line 29
Exception rethrown at [0]: 
   at System.Runtime.CompilerServices.TaskAwaiter.ThrowForNonSuccess(Task task)
   at System.Runtime.CompilerServices.TaskAwaiter.ValidateEnd(Task task)
   at System.Runtime.CompilerServices.TaskAwaiter.GetResult()
   at ConsoleApplication1.Program.<Foo>d__0.MoveNext() in R:\###Debugging\#seUnmangling (pre .NET 4.5) asyncawait stack traces\AsyncConsole_Sln\1Cons_Prj\Program.cs:line 19
Exception rethrown at [1]: 
   at System.Runtime.CompilerServices.AsyncVoidMethodBuilder.<SetException>b__1(Object state)
   at System.Threading.QueueUserWorkItemCallback.WaitCallback_Context(Object state)
   at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state, Boolean ignoreSyncCtx)
   at System.Threading.QueueUserWorkItemCallback.System.Threading.IThreadPoolWorkItem.ExecuteWorkItem()
   at System.Threading.ThreadPoolWorkQueue.Dispatch()
   at System.Threading._ThreadPoolWaitCallback.PerformWaitCallback()}   System.Exception
