The "holy grail" of IDEs is interactive debugging - where you can pause a script mid-execution, and evaluate precisely what is going on. This takes many forms - usually you can pause the script at a point, then step through each line, seeing how your script executes. Often you can also check individual values of variables - hovering your mouse over variable $bar tells you that it is set to "Hello, world!"
Very advanced IDEs also let you take a deeper look into PHP's data - you can inspect objects, seeing what their private variables are set to, you can inspect output buffers, seeing what is currently ready to be flushed, and more.
Debugging support means you spend less time blindly writing "print 'Made it to line 50!';", and more time programming important stuff. If you can literally see your variable being accidentally changed because you have stepped through your code line by line, there is no more doubt, and no more fuss - you can just solve the problems.
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