When I’m writting:
throw new ArgumentOutOfRangeException("")
Placing the caret between the quotes, and pressing Ctrl+Space to open up intellisense actually does something!
The strange and beautiful thing that dazzles me is that it actually suggests parameter names from the method:

Can someone please explain to me how it can be achieved?
How can I add custom intellisense in such level?
UPDATE:
As some pointed out – this intellisense doesn’t popup normally.
I am using ReSharper 6.1, and I can control whether that intellisense will popup or not in ReSharper > Options > Intellisense > Autopopup > [C#] In string literals.
Still, I would like to know how I can create such intellisense myself.
I think you should take a look at this article.
Plus there is another Stack Overflow question quite similar to yours that may give you some hints too.
How to implement concretelly I don’t know, but I don’t think you even need to use reflection as even “normal” IntelliSense of Visual Studio works without any need to build your project first. Just adding a new class to your project for example makes it available for IntelliSense. I think ReSharper uses the same kind of mechanism behind.