MySql Connector/NET also includes a stored procedure debugger integrated in visual studio as of version 6.6, You can get the installer and the source here: http://dev.mysql.com/downloads/connector/net/
Some documentation / screenshots: https://dev.mysql.com/doc/visual-studio/en/visual-studio-debugger.html
You can follow the annoucements here: http://forums.mysql.com/read.php?38,561817,561817#msg-561817
UPDATE: The MySql for Visual Studio was split from Connector/NET into a separate product, you can pick it (including the debugger) from here https://dev.mysql.com/downloads/windows/visualstudio/1.2.html (still free & open source).
DISCLAIMER: I was the developer who authored the Stored procedures debugger engine for MySQL for Visual Studio product.