Altera Cyclone IV FPGA and jtag debugging
You can't easily "single step" an FPGA design, unless that capability is part of the design itself. But Altera offers an embedded logic analyzer called SignalTap that you can use to probe signals in real time.

But it's usually better to do the bulk of your debugging in the simulator; the visibility into what's going on and the ability to change things on the fly is so much better.