The easiest way found, that works since 1.5:
set JAVAWS_TRACE_NATIVE=1
set JAVAWS_VM_ARGS=-Xdebug
-Xnoagent -Djava.compiler=NONE
-Xrunjdwp:transport=dt_socket,
address=8989,server=y,suspend=n
javaws http://server:port/descriptor.jnlp
The JAVAWS_TRACE_NATIVE flag is optional, and its purpose is solely to show in a splash window the command that is being used to launch your JVM.
After this, you can attach your favourite IDE of choice.