FusionDebug is an interactive ColdFusion debugger and does indeed let you step through each line of code and step into CF components, functions, tags and includes. You can see exactly where you are in the code and can examine every variable, scope etc.
Take a look at the Captivates on this page to see what is possible:
|Server:||ColdFusion 8, ColdFusion 6, ColdFusion 7|
|Platform:||Solaris, Linux, Windows 2003, Windows 2000, Windows XP|