Lolcode.net is a compiler for the .NET platform, principally written by Arachnid. It compiles LOLCode into windows executables (and should work on mono, but hasn't been tested yet). The resulting executables can be debugged with Visual Studio, too. Screenshots of debugging in Visual Studio are here and here.
Compiled executables require the stdlol.dll runtime library, and the .NET framework.
Currently, the project is very much alpha - the compiler is only lightly tested, and bugs are likely. If you come across one, please help by filing a bug report.
You can get the source from the Google Code project or download the binaries here.