This post about Script Debugging in IE prompted me to create my own little collection of links on debugging, since I find myself currently working on a project that uses 'old school' ASP and SQL written outside VisualStudio...
Most useful is this detailed instructions document [.DOC] (on gotdotnet) or this short doc.
Then there's the lower-level stuff:
Fiddler for IE allows you to record, monitor, replay and otherwise manipulate the HTTP traffic between IE and web servers.
And these IE DOM inspectors can help to debug client-side issues by letting you view IE's understanding of the Document Object Model it has rendered.
Of course Firefox already provides features and/or extensions to do these things and more!
While we're on the subject of debugging, here's a tip for SQL Debugging after XP SP2.