I actually just completed writing an article for the JavaRanch newsletter on setting up IntelliJ IDEA and Eclipse to do remote debugging. In the end it is very simple to do, just tough to find good documentation online.
Basically you will start up the server in debug mode. This will allow other JVMs to attach to the server's JVM and hear all the code that is running. Then in you IDE you set a break point on any server side code that will be called.
Run the client code and when the line on the server side gets called your IDE will stop the code from running and allow you to start stepping through code.
You cannot set the break point on client code unless you are able to run that client code directly from your IDE. Or you can sort of also attach to the JVM that is running the client code if you put a pause in the beginning to allow another JVM to attach before the client code is finished running.
Well I am hoping that the article appears in the August newletter which should be released or will be in a couple of days.
You shouldn't have to go out an buy a seperate server-side debugging tool. All IDE's except for Textpad or Visual Notepad, should allow you to do debugging.