A debug probe is a device that allows a computer to communicate and program the non-volatile flash of an MCU. It communicates with special hardware on the MCU (called Coresight on ARM Cortex-M processors). The SEGGER J-Link and J-Trace family of debug probes are among the most popular in the industry. SEGGER also offers useful software that integrates with their tools free of charge. The accessibility of these tools and the quality of the accompanying software makes this an excellent fit for use in this book.
If you plan on using a paid IDE, the IDE vendor likely has their own proprietary debug probes available. Many excellent software features will likely be tied to their hardware. For example, ARM Keil uVision MDK integrates with ARM Ulink probes and IAR offers their I-Jet debug probes. IDEs such as these also integrate with third-party probes but be aware...