I use TJI Java IDE. The latest version has visual debugging among its many features (code folding, refactoring, UML view, database, webserver ...).
There is now a 'Super Lite' version of TJI too, with just 3 toolbar buttons: Save, Build and Run. It indicates compile-time errors and run-time exceptions in your source code. A good first IDE after cutting one's teeth at the command line.