0. burn-and-try
1. software simulator
2. Blinking LED(s)
3. printf() (Printing message to a com port)
4. monitor (core-type and full-blown)
5. "free" ICE ((C)Erik Malund) - chip with builtin debugging hardware
6. "cheap" and "expensive" ICE
7. your own head

Now, we can order them also in terms of "intrusion": 2. and 3. requires some extra code which will most probably not been there when running; 4. requires some extra code but not inserted in the flow of the program.

I think, except of some slowdown in case of 2 and 3, we can speak of "full speed debugging" in all cases except 1 and 7; although this might depend on the definition of the "full speed".