Another popular mistake is to remove the sqldebugger-user from the domain which will result in

EXECUTE permission denied on object 'sp_sdidebug', database 'master'

error message.

To get around this you need to create a similar new account and configure DCOM according to "Troubleshooting the Transact-SQL Debugger" in BOL

Here's an interesting KB article.

http://support.microsoft.com/?kbid=328173