I am a late arriver to the wonders of jQuery, but now the word is out that Microsoft will be supporting jQuery in Visual Studio.  It looks like it is going to fully integrated into Visual Studio in newer versions.

Currently, though, using jQuery syntax makes all javascript intellisense go away.

Today, I found a blog describing how to add intellisense for jQuery...
Rich Intellisense For jQuery - basically they provide a jQuery file with a .vsdoc extension.  Add it in your project next to the original jQuery library file.  Then install the below hotfix for Visual Studio. 

There is also a Visual Studio Hotfix available....  
JScript Editor support for “-vsdoc.js” IntelliSense doc. files

Now, in your project you just need two files, and Visual Studio will do the rest...
jquery-1.3.2.js  (original jQuery library)
jquery-1.3.2-vsdoc.js  (required for intellisense only) 

More information available from Scott Gu: jQuery in VS