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.
answered Feb 13 '11 at 05:05 PM
Currently the following options are available to find problems with your project:
Hopefully this will not be true for a very long time.
answered Oct 20 '09 at 04:50 PM
Lucas Meijer 1 ♦♦