Here are some links to software that can be used for debugging a new embedded device when a PC is involved. Most run on a PC (some have MAC versions) and are free or have a free time-limited demo. These can be used at the same time as the application is running and do not require any source code changes in the application. Adding debug printf's everywhere in code is always another option, but it takes time in complex code with multiple source files and in some cases the additional time delays added by printfs in an application may also cause problems to change.

Ethernet and Wi Fi

WireShark - Monitor, capture, and display network packets using a PC. Handy for debugging applications using Ethernet networking. Wireshark can also be used for Wi Fi, but in some cases special Wi Fi hardware might be needed to capture everything.

RS232 and Serial Ports

Free Serial Port Analyzer or Serial Port Monitor - Monitor, capture and display the data on a serial port including USB virtual com ports using a PC. Handy for debugging applications that use serial communications.

USB

USBcap and USB Monitor - Monitor, capture, and display the data transfers to a USB device using a PC. Handy for debugging USB applications.

I2C, SPI, 1-Wire, CAN, RS232 and JTAG

Some new scopes and logic analyzers will capture I2C, SPI, CAN and RS232 cycles, decode, and display them. There are I2C and SPI software monitors for PCs, but they will require a special hardware box for the PC ($200-$300) with a USB interface that is used to capture the data. The Bus Pirate is probably the lowest cost option (around $30), but many of the more expensive options will support higher clock rates.

Bluetooth

There are several Bluetooth packet sniffers available such as this one seen below from Adafruit.

Adafruit's Bluetooth LE Packet Sniffer requires a Bluetooth dongle