Some of my project teammates and myself have encountered what seems to be a farily annoying problem that still seems to exist in VS2005 even in the RC (September CTP). The problem is that the Add New Data Source Wizard in Visual Studio generates a NullReferenceException when trying to add a new Object data source: You either get a message box with the error, or the wizard just disappears when trying to present all the CLR types to select the one you want your data source to be based on.
I logged the bug here, and I'm hoping someone else actually has run into the issue. I have very little hope it will be corrected so late in the game (or even reproduced), but it never hurts to ask. There is one workaround, though, but not very good: manually creating the .datasource file :(
Update: Bug confirmed: It only happens when there are no code files directly on the project's directory (example, it will happen if all your code files are in subdirectories). At least there is a simple workaround, which is putting at least one code file directly on the project's dir.