With an IDE debugger you can see the values of ALL the variables in the current scope (all the way up the call stack) whenever you halt execution.
Print statements can be great but dumping so much information to the screen at any given place can produce a whole lot of print statements.
Also, many IDE debuggers let you type in and evaluate methods, and evaluate members while you are halted, which further increases the amount of print statements you'd have to do.
I do feel that debuggers are better for some languages than for others however...
My general opinion is that IDE debuggers are absolutely, amazingly wonderful for managed languages like Java or C#, are fairly useful for C++, and are not very useful for scripting languages like Python (but it could be that I just haven't tried a good debugger for any scripting languages yet).
I absolutely love the debugger in IntelliJ IDEA when I do Java development. I just use print statements when I use Python.
