Okay, I believe I've figured it out, but not without much detective work.
It turns out that in the source package for the Events module, there is something in the DotNetNuke.Events.vbproj that keeps it from being loaded in VS 2008. Therefore, whenever you open the DNN.Events solution in VS, which in turn loads the four subprojects, the DotNetNuke.Events subproject does not get loaded--which means that it does not get rebuilt whenever you do a clean build. So, you're left with the DotNetNuke.Events.dll that was packaged with the module, which doesn't have debugging symbols.
What worked for me was:
1. Edit the DotNetNuke.Events.vbproj file by hand. I think the key is the Visual Studio block at the end of the file. Remove that block, and save the file.
2. Bring up the DotNetNuke.Events.sln file with VS 2008.
3. Make sure debug mode is turned on in the compiler to generate the symbols.
4. Build the solution, generating the 4 DLLs.
4a. If you get a build error regarding Framework, make sure that the References point to a valid DotNetNuke.dll.
5. Bring up your DNN web site in VS 2008, and set a breakpoint in the code.
6. Voila, c'est parfait!
I've only been working with DNN/.NET/Windows for a couple of weeks, but I've got plenty of C++/Unix experience. If any of you more experienced .NET folks have some advice on a better way to address this issue, please edumacate me.