Yes, examining proxies in the debugger will cause them to be initialized. If it makes a difference to what you are debugging, don't have the Locals or Autos windows visible, and be careful about what objects you examine.
In the Immediate window or the Watch window, you can do
Code:
NHibernate.NHibernateUtil.IsInitialized(myEntityOrCollection)
first if you're not sure whether the entity/collection is initialized or not, and wait until it is initialized before examining it any further if that matters to what you're trying to debug.