The most important thing is that in Debug mode there are no optimizations, while in Release mode there are optimizations. This is important because the compiler is very advanced and can do some pretty tricky low-level improving of your code. As a result some lines of your code might get left without any instructions at all, or some might get all mixed up. Step-by-step debugging would be impossible. Also, local variables are often optimized in mysterious ways, so Watches and QuickWatches often don’t work because the variable is “optimized away”. And there are multitudes of other optimizations too. Try debugging optimized .NET code sometime and you’ll see.
Another key difference is that because of this the default Release settings don’t bother with generating extensive debug symbol information. That’s the .PDB file you might have noticed and it allows the debugger to figure out which assembly instructions corresspond to which line of code, etc.