The Segger J-Link is a reasonably priced, high performance JTAG debugger. It is known to work well with the Wandboard.
In particular, a hobbyist version is available for around $60 ~ $70 USD. Here are a few sources:
One difficulty is that the Wandboard uses a 2mm 8-pin connector (not populated by default), while the standard ARM debug connector is a 100mil 2-row 20-pin connector. You can use clip-leads to make the connections, but if you want something more durable, you can build your own adapter.
Here are designs for both a 2-layer and a 4-layer adapter:
One "gotcha" though. As Segger says, the i.MX 6 processor has a somewhat unusual reset configuration, so you must specify the correct processor type when running the J-Link software. That way, the J-Link can work around the reset eccentricities. For example, on the Wandboard Dual-Lite, you would use:
JLinkExe -device MCIMX6U5