Debugging in SQL Server 2005

As far as I know, you have to have some kind of TSQL object in the database to debug to accomplish this. Since an ad hoc query doesn't directly correlate to a server object, there is nothing to point the debugger at. There also might be a small big of setup involved before you can actually start debugging those objects.

However, it if fairly easy to wrap sql statements into a procedure just for the sake of debugging if you have the proper rights. It would not be a good idea to do on a production server, but if you do not have stored procedure creation rights, you might still be able to create a global temporary stored procedure, solely for debugging purposes.

Examples:

--SQL to test
DECLARE @test DATETIME
SELECT @test = GetDate()
SELECT @test


--SQL wrapped in procedure just so it can be debugged
CREATE PROCEDURE TestProcedure  --(or ##testprocedure for global temp procedure) 
AS 
DECLARE @test DATETIME
SELECT @test = GetDate()
SELECT @test

Article illustrating some sql debugging info and examples in use - link.