Thats is excellent guys, I will add few points myself:
1. My last few projects had an LCD interface which made debugging real easy, I just dump values to it to either display incoming serial bytes or ADC reading etc...
2. I use extra i/o pin and toggle it either with interrupt or main program loop to measure the timing of routines or interrupts with an oscilloscope.
3. With the new cygnal board I can monitor the values of internal registers and memory locations on the pc without any hardware or software overhead through the jtag interface once the hardware breakpoint is activated.

Mahmood