@Nate, @Gopal:  You can step through lines of code today if you are using the Visual Studio plugin.  Place a breakpoint in the code which you want to step through, then launch the test from Test Explorer using 'Debug selected tests'.  Test will stop at your breakpoint and you can step from there.  
NOTE:  
a) The above steps are in VS 2012.  You also have the ability to do this using VS 2010 but the UI to launch tests is different - you can do so from Test List (open a vsmdi file) or Test View.
b) Unless this has been implemented in recent versions of TS (I am on 2012.2), you cannot debug both recorded and coded steps in the same session - you can only debug one or the other.  To debug recorded steps, run in QuickExecute mode (it won;t honor breakpoints in code).  To debug coded steps, use the procedure given above (it won't honor breakpoints in recorded steps).  Removing this limitation (if it still exists) would be a huge step forward for Test Studio. 

Tat will be value added...

At a minimum it would be nice to be able to step through the lines of a coded step.