With Unity 3.2 this feature now exists.

You have to debug using the MonoDevelop that ships with Unity 3.2.

When you have the project open in MD, click Run > Attach to Process. Then choose the Unity editor process or your running built debug exe. If you attach to the editor, you can start and stop the game editor at any time using the "play" button or Ctrl+P.

Currently the following options are available to find problems with your project:

• Debug "visually" by pausing the game, and inspecting values of scripts in the inspector
• Using Debug.Log() messages, to see where things are going wrong
• You can run your C# code in the VisualStudio debugger, but only those parts that do not interact with the Unity API.

Hopefully this will not be true for a very long time.