@DannySmurf:
It's not debuggable
Depending on your server, yes, they are debuggable. This provides an example for SQL Server 2000. I'm guessing the newer ones also have this. However, the free MySQL server does not have this (as far as I know).
It's not subject to source control
Yes, it is. Kind of. Database backups should include stored procedures. Those backup files might or might not be in your version control repository. But either way, you have backups of your stored procedures.