Avr:ICE or JTAG
If you want to use the JTAG interface of the AVR's you have to buy a JTAGICE, or to build one. Make a search on Elektroda forums and you will find how.
But there are different capabilities in the debug process for JTAG and ICE. Using JTAG you will have only 3 hardware breakpoints, no Code profiling, no Code coverage, and Tracing is almost unusable due the slow interface. Anyway is cheap (around 40$ for the clones) or less then 10$ if you build it by yourself and is far more then "classical" debug methods. But for full debug possibilities, you should buy an ICE.