For microcontrollers, quite often. Mainly because visibility is quite poor, you're often trying to do stupid things, problems tend to be localized, and JTAG is easier than a firmware upload.

For other applications, rarely. Debuggers help when you don't understand what's going on at a micro level, which is more common with less experience or when the code is more complex due to other constraints.

Applications running in full fledged operating systems often have plenty of log output, and it's trivial to add more, formatted as you need. You can view a broad slice of the application with printouts, and iteratively tune those prints to what you need, vs a debugger which is better suited for observing a small slice of the application.