you can use remote debugger:
http://msdn.microsoft.com/en-us/library/vstudio/bt727f1t.aspx[
^]
There are version available for 2005, 2008 and 2010
I have three servers: A dev, a test and a live so I don't have to worry about debugging on the test but if I had no dev server then I can totally see why you would want to debug the test machine.
Let me know if you need any help setting up Remote Debugger :D