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What I used to do was to have a command line switch which would start the program either as a service or as a regular application. Then, in my IDE I would set the switch so that I could step through my code.
With some languages you can actually detect if it's running in an IDE, and perform this switch automatically.
What language are you using?
I think it depends on what OS you are using, Vista is much harder to attach to Services, because of the separation between sessions.
The two options I've used in the past are:
Hope this helps.