Connecting the Sheevaplug via the debug console with Mac OS X is a bit tricky because it involves to install a driver and patch the Sheevaplug device ID to a system file in Mac OS X.
Following the instructions here should be very straight forward. There are also instructions for connecting on Windows and Linux.

After successful installation reboot Mac OS X. Connect your Sheevaplug with a mini-USB cable to your Computer. Power it on and check which device ID it got.

ls -l /dev/tty.usbserial*
crw-rw-rw- 1  root  9,  28  16 Jun 19:14 /dev/tty.usbserial-FTxxxxxxA
crw-rw-rw- 1  root  9,  30  16 Jun 19:15 /dev/tty.usbserial-FTxxxxxxB

("xxxxxx" is your Sheevaplug's unique device ID.)

Now lets have a first check of our Sheevaplug and learn how to interrupt the boot process. Power off the Sheevaplug. Start a terminal and prepare to connect to the plug:

screen /dev/tty.usbserial-FTxxxxxxB 115200

Plug in the power cable of your Sheevaplug device and hit return in terminal after 2-3 seconds. Then press the space bar to interrupt the boot process in the early boot loader stage.

You should see something like that on your terminal:

512 MB

CPU : Marvell Feroceon (Rev 1)

Streaming disabled
Write allocate disabled

USB 0: host mode
PEX 0: interface detected no Link.
Net:   egiga0 [PRIME], egiga1
Hit any key to stop autoboot:  0 
Marvell>>

In the uboot prompt "Marvell>>" we can figure out the version of uboot.

Marvell>> version

U-Boot 1.1.4 (Jul 14 2009 - 06:46:57) Marvell version: 3.4.16

Yeah, mine has unfortunately an old version of uboot. According to here boot support from SD card was added with version 3.4.19. Because I want to install Debian on a SD card and boot from it, the next step will be to update the uboot boot loader of my Sheevaplug. :-)