Jeff,
I don't believe you need to have SA privileges because I have used the debugger without having them in SQL Server 2000 Query Analyzer.
vaidyanathan_kalyanasundaram
I had the same problem as you are having with the debugger skipping over my breakpoints and just running the proc. So, what I did was update the service packs of my client tools. I don't recall if they had to match the exact service pack of the server though.
The links VAIYDEYANATHAN.V.S posted are a good source. I definitely used the 15seconds.com one.