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These provide a link to your target board that implements a debugging environment. In general they rely on a communications connection between the target board and the PC. In modern chips this is provided by a Background Debug Mode (BDM or JTAG) link but in it's simplest form this can be the built-in serial port of the microcontroller. Code to be debugged can be downloaded via this communications link to RAM/Flash on the target. With the code now in the target breakpoints may be inserted and the values held in registers, variables etc can be displayed on the PC and the user can even run or single step through the application.
Hardware on the Kinetis, ColdFire, Qorivva, Power PC, 68HCS08, 68HC(S)12, HC16, CPU32 and MCORE processors uses a small number of pins to communicate with built-in debug facilities on the chip. A monitor on the PC interacts via the BDM to provide Reading and writing aces to the chip which can be used for on chip programming. Abatron supply some very fast interfaces using this technique and P & E provide a very low-cost solution. Many of the 68HC08 chips include an on chip monitor MON08 and P&E's MON08 board interfaces link to it both for development and programming purposes.
Like BDM/SDI this requires specific hardware support on the chip. JTAG was originally devised to provides a mechanism for testing and programming complex components such as PLDs and Flash memories in situ and in this case it is used to communicate with a part of the CPU that can start and stop execution as well as accessing the busses. It looks like it's the way Program development support is going as CPUs are getting faster and more complex while bondout chips are just not available. Abatron and P & E provide JTAG ports for ARM, 7 through to Cortex, PPC and MIPS. These interfaces are often used with GDB the debugger supplied with the GCC compiler
A ROM emulator with an optional built-in serial channel. Not by itself a monitor, but support is available to use its serial channel instead of the standard (but often unavailable) UART to link to a number of popular ROM based monitors including Paradigm for 8086/186 and the GNU debugger.