One nice feature of the Immediate Window in Visual Studio is its ability to evaluate the return value of a method particularly if it is called by your client code but it is not part of a variable assignment. In Debug mode, as mentioned, you can interact with variables and execute expressions in memory which plays an important role in being able to do this.
If you referring to issue individual Visual Studio commands then have a look at Immediate Window for examples. That show how to evaluate expressions, execute statements, print variable values, and so forth though the immediate window.
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