A little hidden feature from our release of MonoDevelop 2.2 and Mono 2.6 earlier this week was MonoDevelop's support for debugging Moonlight applications:
Moonlight debugging is a feature that came together very recently, but we delayed Mono and MonoDevelop's release to make sure that we shipped with it.
To debug, merely open your Moonlight/Silverlight project, set some breakpoints, and run your program (F5). Your app will be debugged.
I did a quick screencast and annotated it: