You can do debugging of your parallel Mathematica code with the Wolfram Workbench.
Setup
You need to have Mathematica 7 or higher installed on your system.
Launching
Next you should launch Mathematica in debugging mode. It is important to launch in debug mode before carrying out any parallel work.
Once you have launched Mathematica you may launch subkernels.
You can see the subkernels that are launched in the Debug view.
Setting a Breakpoint
Now you can set a breakpoint in the code in your project.
Exporting Definitions
You need to load the code in the master kernel
and export its definitions to the subkernels.
Hitting a Breakpoint
At this point you can execute a remote command to evaluate
the function definition. The following executes the function
in both subkernels.
A breakpoint is hit in both subkernels, and the Debug view shows
the stack for both.
In this way you can find out the state of each subkernel. This could be very useful in improving your parallel application.