I've recently been working with AJAX and SOAP which both result in multiple sessions running concurrently.
For example if you have an AJAX progress bar for a large file upload one session is uploading the file while a series of shorter sessions check on progress and update the bar.
How to track both parts of this cleanly has had me scratching my head a bit - but the solution is fiendishly simple.
It turns out that there is a buried configuration setting in Eclipse (my IDE of choice) which allows you to debug multiple sessions.