>Anybody knows how I can debug a Login page of the site? For example, the Login page uses Site.Master. I want to get into the debugger right before or right after the Site.Master starts loading.
>Is it possible?

SiteMaster and the Login page are combined into one before sending to the client so you can only look at the Login page. Assuming you are talking about the std. MS Login page:

In Chrome :
Navigate to the Login page.
Hit Ctrl-Shift-I to open the debugger.
In the Sources tab open the Login item.
Set a breakpoint on the 'var (!theForm).... line
Reload the page in the browser.

If your looking to see which files were pulled over the wire then check the 'Network' tab.