If you use a library like log4net in your service application you can put extensive logging into it to determine what is going on. That's one of the critical design approaches for windows services. You need to do extensive logging as it's very difficult to debug such an application when it's launched as a service.
Are you attaching the debugger to the application instance that is started as a service? If so, I would imagine that you'll never be able to get a breakpoint on the OnStart method as you can't attach to it before it's started and when you do attach to it, it's already started. Simple case of catch 22.
-Peter
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