This afternoon after a bit of battle I succeeded in getting CoverageEye.NET to run on my machine, after using for a few hours I've decided to go back to NCover.
Getting CoverageEye to work is bit of trick, you need to know when you Start Coverage (Options -> Coverage), that a pair of environment variables are set (Cor_Enable_Profiling and Cor_Profiler). If your application doesn't pickup these variables then the code coverage isn't run. Unfortunately this means you can't run from inside VS .NET unless you start the devenv after you Start Code Coverage. This isn't covered in Stuart's otherwise solid documentation. Once you realise that you must start the app from a new command line all goes well.
CodeCoverage suffers from two problems have sent me running back to NCover. First it was unable to find my source files in spite of my following the instructions. Second it in the Assembly Report, the data couldn't be sorted by namespace.class name - meaning different methods from a class weren't located together. This makes it very difficult to tell how much coverage a class has.