Well..But what about Visual Studio 2005??..I am still using it..rather me and many of my friends like you people are using it.
For this, First step is Start Internet Explorer, Go to "Tools" Menu, Click on "Internet Options", A wizard kind of Window will get open in front of you, Here you will see some 6-7 Tabs. Click on "Advance" Tab which is in last position. On clicking Advance Tab you will find some Tree like Categorized options with CheckBox to select-deselect it.
So under "Browsing" Category you can see on option check by default as "Disable Script Debugging (Internet Explorer)" , Uncheck this option if it is checked (Generally it is a checked option by default)
alert('Hello User !');
You can see that you can break through it with F10 step by step and watch values of variables if any inside it. I know though we are not able to add breakpoint physically in Visual Studio 2005, but this may help a lot.
Being a Web Developer by profession, I know how much pain my developers friend they suffer from each day just because they can't debug script like they debug their VB or C# code.
This one I tested on Internet Explorer 7 and its working well, As I don't have IE6 and I don't have SP for Vista so indirectly I don't have IE8 too..So I will try to check out this on both of them soon and will get back to you..between I am also trying hard to run this on Mozilla ;)