In a debug build, how do I write debug information to the output window (similar to the TRACE macro from VC6)

You can use the Console.Write and Console.WriteLine methods from within a Windows Forms project to do this. The class DefaultTraceListener is used to implement this functionality.
When your application is launched from the VS.NET IDE in Debug mode, you will see all trace and debug messages in the Output window by calling:

System.Diagnostics.Trace.WriteLine()
or
System.Diagnostics.Debug.WriteLine()