Having WSS installed on you developer machine when doing Sharepoint development would of course make things easier. Especially when it comes to debugging. As you know, Sharepoint Services now require Windows Server to install, but I found a nice little utility that help you get around this problem:

How to install Windows SharePoint Services 3.0 SP1 in Vista x64/x86

This worked great, so now I have a working local installation of WSS 3.0 that I can use to test and debug Web Parts directly on my laptop:

Just make sure to update "Start browser with URL" in the project properties so that Visual Studio knows where to deploy the web part when running/debugging:

Of course, this solution is in no way supported by Microsoft, but as far as I can understand it does not violate the WSS license.