I've included links to the description page for each plugin on
www.jEdit.org to save typing

however, jEdit has a plugin manager which makes installation very easy and i'd recommend it's use.
XML - this is the main one, my favourite features are:
1) any specified DTD is analysed and used to produce graphical tag-completion (can be re-accessed by ctrl-clicking a node) also suports HTML etc...
2) automagic tag-closing on the typing of '</'
XSLT - discussed below
XmlIndenter - extremely handy one click formatting of XML based documents
Those are the three that i use regularly, but there are
others
Can you debug XSLT's in jEdit? Oxygen and some other XML IDE's supports this and it helps a lot when writing XSL transforms.
There's no interactive stepping debugger that i know of, if that's what you mean, but the XSLT plugin allows you to specify an XML document and one or more XSL files to tranform against, and an xpath evaluator which i find very useful.