I would like to see debug output from the setup routine.
Since connecting the serial monitor will normally cause a reset of the arduino (via the auto-reset feature), you usually WILL see output all the way to the beginning of the setup routine.
If you have auto-reset disabled or not present, you should be able to download your code, start the serial monitor, and then hit the reset button on the arduino manually. Then you should see everything from the beginning of setup() in the serial monitor as well.
It's possible (even probable) that other devices connected to the Arduino will not be reset when the arduino is reset, and that "interesting things" will have already happened by the time the reset occurs; a serial device connected to pins 0/1 will see the whole download dialog go by on its pins, after all, plus whatever happens in between the download and the reset caused by opening the serial monitor and/or hitting the reset button.
In critical cases, you can put a "delay(10000);" at the beginning of your setup() function so that you have time to start the serial monitor.