I believe that in Ice Cream Sandwich (Android 4.x) and above, Google sort-of hid this option from us.
If your devices is 4.x, then you simply go into your Settings app -> About phone -> press / touch the Build number row (should be the last item in the display) seven (7) times (you'll start getting toast messages about getting closer to becoming a developer).
When you reach 7 (I believe that's right, it might be 8), the Developer options entry will show up on the prior (main Settings) screen. From the Developer options screen you can check the box next to USB debugging.
I'm a firm believer in checking this option when I first start with a device--it gives you recovery options that are simply not available with it unchecked.
Cheers!