The debugging in MyEclipse uses the Eclipse debugger, so if you like how Eclipse debugs, then you like how MyEclipse debugs. We do some magic to make it work with JSPs and such, but its the same interface/controls/abilities/etc.
To successfully debug and get full debugging support, you need to be using an app server that supports the JSR 45 spec. A lot of people here use WebLogic 8.1 and seem to be getting along fine. You might want to check out the following threads for setup info and info in general with that app server: