I'm a bit lost here and I can't find much documentation.
.NET workflows or ones created using SharePoint designer?
I've only got latter experience and they aren't really easy to debug, you really just have to do them 1 step at a time and test up to each step.
You can view the workflow state as well in SharePoint when you go to the List Settings (sorry I don't have a WSS machine to look at currently).
Agree with @Slace. Make sure you create your workflows in SP Designer to be executable from the browser, even if eventually they'll only be kicked off by status changes. That will in itself make troubleshooting easier.
Assuming you are talking about SharePoint Designer workflows? You can convert them into .NET workflows following these steps. From there, you can debug them. I haven't tried it myself (yet).
As stated, your only real choice for debugging SharePoint Designer workflows is by either going through the painful process of converting them into .NET worklows, or doing things like writing out the History List after every single step so you can see what is failing.
However, even .NET workflows are very difficult to debug in VS2005. In VS2008, they added the ability to more easily debug workflows developed using that environment.
This article has some great debugging tips for SharePoint. It gives a good general approach to development/debugging. Here are a few of the tools that are referenced: