When using HttpWebRequest asynchronously in a Windows Phone 7 app, the console in Visual Studio was outputting:

A first chance exception of type 'System.NotSupportedException' occurred in System.Windows.dll

The fix was basically adding AllowReadStreamBuffering = true to the HttpWebRequest object. For example:

var request = HttpWebRequest.CreateHttp(feed.Url);
request.AllowReadStreamBuffering = true;

This error didn’t cause my app to crash or any other problems other than the “first chance exception”, so it might be a bug. According to Microsoft, the default value for AllowReadStreamBuffering is true, so I’m not sure why this fixes the problem, but it worked for me.