I have been debugging some SharePoint 2007 webparts and have had to resort to TRACE output and the SysInternal DebugView; it is like ASP pages in the 90s all over again!
Anyway had a weird problem that only alternate TRACE.WriteLine commands were appearing in the view. I have not found a reason why or a solution as yet, I suspect a buffer flushing issue, but you can work round it once you know it is happening.
Update : Trace.Autoflush= true is the fix - another user too stupid error!