For anyone wondering (since it's such a new thing that not a lot of people know much about it): Source maps are currently only supported in Chrome, but it's also implemented in recent WebKit nightlies and Firefox is actively working on support. In order to use source maps in Chrome, open the options panel on the dev tools and make sure the "Source maps" option is enabled.
Right. As far as I know, they currently work in Chrome, in Node.js (with a library), in Webkit nightlies, and are getting close-ish in Firefox nightlies: http://fitzgeraldnick.com/weblog/45/
If you have Visual Studio, they have source map debugging for TypeScript working. You can do CoffeeScript dev in Visual Studio [1], but I have no idea if source maps work with that.
Thanks for that! Added to my comment. I meant to mention WebKit initially, but I got so focused on double-checking that my Firefox information was current that I just stopped afterward.