Debug.Print outputs to the "Immediate" window.
Also, you can simply type ? and then a statement directly into the immediate window (and then press Enter) and have the output appear right below, like this:
This can be very handy to quickly output the property of an object...
? myWidget.name
...to set the property of an object...
myWidget.name = "thingy"
...or to even execute a function or line of code, while in debugging mode:
Sheet1.MyFunction()