I was demonstrating a POC I wrote to one of my colleagues and I showed him one of the integration demo where I have a two console application - a producer and a consumer who communicate by WCF. He was surprised to see  I get two separate console windows running from within Visual Studio.

So just in case you don't know that as well, all you need to do is to go to the solution properties (Right click on the solution->Properties) and under "Startup project" select "Multiple Startup project".
You can even decide which projects will run with a debugger and which won't :)