I've been using this tool a lot lately and it's come up in the newsgroups recently so I thought I should post about it here.

DebugView is a free utility from the amazing sysinternals.com that lets you watch debug output from your application in real time. It can even be connected to a remote machine so you can watch debug output on your server from your workstation. Again, all this in real time!

They explain it better over on their download page so go and get it now. In the meantime here's a very simple console application...

public class Test
{
    public static void Main()
    {
        System.Diagnostics.Trace.Write("Check it out!");
    }
}

... and a screenshot of DebugView's capture...

You'll tend to get output from any application that has debug output but you can apply filters to get rid of stuff you don't want to see and/or highlight the stuff you do want to see.

NOTE: The System.Diagnostics.Trace and Debug methods are decorated with the ConditionalAttribute ("TRACE" and "DEBUG" respectively) so you need to make sure these are defined in your build otherwise the calls don't make it into your compiled code (the command line to build with TRACE is "csc test.cs /d:TRACE" or look in the project properties if you're using Visual Studio).