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Run | View Breakpoints | Exception Breakpoints
A fast way to pop up the dialog is to press Ctrl + SHIFT + F8 (On Mac: Cmd + SHIFT + F8), then click over to the exception breakpoints tab. If that was the last tab you were viewing, it'll still be selected, making it easy to flick breaking on exceptions on and off.
This will cause IntelliJ to break at the point in the code (or library code) where the exception was raised. Specifically, you get a 'first chance' at exception handling, before the stack is walked looking for catch/finally blocks to execute.
TIP: Java tends to throw a lot of exceptions internally when loading classes, so this breaking on all exceptions can become quite tedious. The good news is that you can exclude certain types of exception using the condition field.
For example:
!(this instanceof java.lang.ClassNotFoundException)
You can chain multiple such conditions together with &&.

While in debug mode, and between two breakpoints, hit the F9 key.
AFAIK, there is no direct F5 like in Visual Studio to jump to the next breakpoint without cursor pointing. The closest is the ALT+F9 that jumps to the cursor.
For quick reference, the most used debugging keyboard shortcuts are:
- F8 Step over
- F7 Step into
- Shift + F7 Smart step into
- Shift + F8 Step out
- Alt + F9 Run to cursor
- Alt + F8 Evaluate expression
- F9 (Mac: Cmd + ALT + R) Resume program
- Ctrl + F8 (Mac: Cmd + F8) Toggle breakpoint
- Ctrl + Shift + F8 (Mac: Cmd + Shift + F8) View breakpoints
To note that there are some keyboard shortcut differences between Mac and Win/Linux. Full references to PDF cheatsheets below.
Mac keymap: https://www.jetbrains.com/idea/docs/IntelliJIDEA_ReferenceCard_Mac.pdf
Win/Linux keymap: https://www.jetbrains.com/idea/docs/IntelliJIDEA_ReferenceCard.pdf