Visual Studio 2010 provides a fantastic debugging experience for F#, including breakpoints, tracepoints, call stacks, locals, stepping, set next statement, threads window, poking new values into variables, debugger visualizers, conditional breakpoints, immediate window, ... the only caveat is that the last two use the C# expression evaluator (F# does not have its own debugger EE), which means you must type e.g. C# syntax into the 'immediate window'.
(Everything I mentioned above is available for free if you download the free VS2010 Integrated Shell and the F# CTP.)
I am not sure what is available right now for Mono, but would not be surprised if there is something decent already, and something even better coming in the not-too-distant future.
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