You can debug everything, starting from custom WorkflowServiceHost (if you have one), particular code-based activities, xaml based activities, up to activity designer surface.
I believe the biggest question for you is how to debug a visual components? On the designer surface, you can place a breakpoint on activity you want to debug, and once the activity is reached, process will halt and wait for you to continue. Then just proceed as usual, nothing much different than regular debugging.