The currently best setup is to be running stuff through ps2link and using printf to give debugging output (printf is redirected to your PC via ps2link). There is also a special printf command (sio_printf) which allows you to send debugging output to PC via the ee-sio mod which is a nice setup.
If you want actual debug software you'll have to look into gdb. There is a port of gdb for ps2, however it's very slow and really needs someone to take it on and improve it before it will truely be useful.
Shoot Pixels, Not People.