I realize that there is nothing similar to SQL Server Management Studio, so I am mentally prepared to use the good old printf debugging.
The only question is how to
It sounds like you're looking for actual debugging capability. PostgreSQL actually introduced this functionality starting with PostgreSQL 8.3.
It's fantastic and totally makes PostgreSQL live up to it's tagline "the world's most advanced open source database". It's kind of a hassle to get running but these links might help get you started. Once enabled it allows you to set breakpoints or define inputs & evaluate functions all through a handy right-click menu in PGAdmin.