Coming from the Java world and the eclipse IDE, I fell in love with the 'Drop to Frame' feature and the ability to change code on the fly while debugging. In Xcode, you can get half way there with the 'Fix' command (under the Run menu, enabled only while paused while debugging). The frustrating thing is that in the most recent version of Xcode (v3.2.3) this command is constantly disabled.
If you read the Apple's "Xcode Debugging Guide" (http://developer.apple.com/mac/library/documentation/DeveloperTools/Conceptual/XcodeDebugging/230-Modifying_Running_Code/modifying_running_code.html) and follow its guidelines about how to set up your environment to enable the menu item, it'll most likely stay disabled. The thing that the guide doesn't mention, and therefore is probably a bug and one that hopefully gets patched in Xcode 4, is that your build architecture must be 32-bit only. Since the default architecture is 32/64 bit universal, the fix command is unavailable by default until you change it.