I like the ability to flow through the source and see what happens to the data as the statements are executed. If there is a fault, it will track the event, and we can then look back to see why it may have caused the fault. You can also reverse engineer your test. You can set it so that you can go backward as well as forward in your test. This is something that I haven't done here at my company.
Compuware Xpediter is one of the best debugging tools for mainframe software development. We have currently licensed only the COBOL language for Xpediter, but I know they have other languages, including Assembler, PL/I.