One word: Logging.
Your program should write descriptive debug lines which include a timestamp to a log file based on a configurable debug level. Reading the resultant log files gives you information on what happened during the execution of the program. There are logging packages in every common programming language that make this a snap:
Java: log4j
.Net: NLog or log4net
Python: Python Logging
PHP: Pear Logging Framework
Ruby: Ruby Logger
C: log4c
