When debugging lines of code, here are the usual scenarios:
(Step Into) A method is about to be invoked, and you want to debug into the code of that method, so the next step is to go into that method and continue debugging step-by-step.
(Step Over) A method is about to be invoked, but you're not interested in debugging this particular invocation, so you want the debugger to execute that method completely as one entire step.
(Step Return) You're done debugging this method step-by-step, and you just want the debugger to run the entire method until it returns as one entire step.
(Resume) You want the debugger to resume "normal" execution instead of step-by-step
(Line Breakpoint) You don't care how it got there, but if execution reaches a particular line of code, you want the debugger to temporarily pause execution there so you can decide what to do.
Eclipse has other advanced debugging features, but these are the basic fundamentals.
See also
Free video tutorial: Eclipse and Java: Using the Debugger
IBM/DeveloperWorks/Debugging with the Eclipse Platform
IBM/DeveloperWorks/Learn the essentials of debugging