Its very cool when you debug T-SQL in Visual Studio .NET. Just step from your code into a stored procedure in the SQL Server database. I found some articles at Microsoft about T-SQL Debugging in Visual Studio .NET which could be helpfull to setup your environment.

Setting Up SQL Debugging
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/vsdebug/html/vxlrfsettingupsqldebugging.asp

Enabling SQL Debugging
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/vsdebug/html/vxlrfsettingupsqldebuggingenablingsqldebugging.asp

Troubleshooting tips for T-SQL Debugger in Visual Studio .NET
http://support.microsoft.com/default.aspx?scid=kb;en-us;817178&Product=sql

SQL Debugging: Unable to Start SQL Debug Session
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/vsdebug/html/vxtbstroubleshootingsqldebuggingsetu
perrormessageunabletostartsqldebugsession.asp

If you know any other articles about T-SQL Debugging please don't hesitate to give a comment on this post. I will put it into the list. :)