You have following options:
IE7: Nothing built in. But have a look at IE Developer Toolbar.
IE8: Just hit F12 and you will get access to some very capable built-in tools. Error console is on Script tab.
Firefox: Just use FireBug.
Opera: Press Ctrl+Shift+I (Cmd+Option+I on Mac) to launch Opera Drangonfly which is a fully featured development and debugging tool integrated into the Opera browser.