A new tool I love using, first it is in AIR, secondly immensely useful, is from Arthropod this little AIR application that let's you trace debug messages even from an embedded swf.

I never was a fan of Adobe's debug flash player, as it sometimes did cause weird behavior, especially after upgrading to FF3. So this little Air app gives you a wide range of functions to organise your debug traces well, including coloring, clearing, even snapshots of current Application, as I said even for in HTML embedded swfs or Air apps.
give it a go:

simply add the class to your source, import and use it:

there are many other ways to trace, read the documentation for more info