When you go to Tools > Extension Manager > Online Gallery you can install a number of extensions in Visual Studio 2010.
One of the extensions is a Regex Editor which provides syntax highlighting, intellisense, and the ability to test a regular expression in Visual Studio 2010 as you create it.

If you would like to install the Regex Editor manually, you can download it here. If you would like to grab the source code you can get it on CodePlex here.
Check out other Microsoft .NET Developer Tools and Visual Studio Add-Ins.
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