>>>Note, this only works in certain editions of VS. In the edition I have (standard edition, thanks to you ), I don't see an option to debug SP.
>>>
>>>And apparently there is no such option in SQL Server itself if I'm not mistaken (I'd love to be).
>>
>>It may only be in VS Pro editions (I've never used standard).
>>
>>The VS debugger is the only way I found to do it for SQL2005 - nice marketing ploy for MS eh?
>>
>>FWIW it works well (actually I haven't had to use the debugger in a while - must be my perfect code .. ahem..).
>
>I believe SQL Server should have this ablity in itself, not using extra tool. Hopefully new version of SQL Server will address this lack.

I agree completely. I haven't tried SQL 2008 to see if that has been addressed, but I hope it is.