I have noticed lately that the Visual Studio 2010 debugger keeps jumping into this method that is marked with the [DebuggerStepThrough] attribute.

The callstack looks something like this:
- Page.OnLoad calls a method IsSubclassOfGeneric in a class marked as
[DebuggerStepThrough]. - IsSubclassOfGeneric calls GetHierarchy as shown, passing a lambda expression to the System.Linq.Enumerable.Any extension.
- Visual Studio steps into the method as shown above.
I have just replaced the Linq call with a foreach loop as below, to no avail:

This is a bit of an annoyance, since this method is called pretty frequently, and I do not understand why the attribute is being ignored.
Try this simple console application, put break points on the lines indicated, run the debugger and on the first break point, press step into (F11). It should miss the second break point. Otherwsie if might be a visual studio setting/extension messing things up.
EDIT
Actually i think it has something to do with the yield statement. If i try building a list (GetHierarchy2), i have no problem with the DebuggerStepThrough attribute