Test First Development, the process of writing unit tests to test the code you are about to write, is one of my favorite software practices that has an impact on producing better written code. However, it's no a panacea. It is true that I use the debugger much less often because of TDD, but there are still occasions where it's important to manually step through code line by line.
Personally, I use NCover as my first line of defense. It highlights the lines of code that haven't been executed by my unit tests. A lot of these turn out to be non-issues such as the last "}" in a method or an assertion that this line should never happen (for example in the default: section of a switch statement when I believe the default should never be reached).
There are those times, however, when you don't have time to write a unit test to excercise a particular line of code. Stepping through it is a wise idea.
Also, unit tests won’t uncover errors of omission. Stepping through your code will often jog your memory and remind you that, Hey, I forgot to make the code jump rope here AND I forgot the jump rope test fixture.