print "FILE: ", __FILE__, " Line: ", __LINE__, "\n";
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    warn "I'm a warning about something";
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  I'm a warning about something at demo.pl line 47.
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die() does the same, but stops execution (unless caught in an exception handler).

Just to be a little more specific, note that

warn "I'm a warning about something";
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does not contain a trailing newline. If your warning message does contain \n as the last character, warn will not include at demo.pl line 47.
See perldoc -f warn

--
bm

If dws's suggestion of warn w/o trailing "\n" isn't good enough, you might want to look into using caller to get more control:

my $Debugging= ...;
sub Trace {
    return   if  ! $Debugging;
    my( $file, $line )= ( caller )[1,2];
    warn @_, " at $file:$line\n";
}
#...
Trace("stupid debug message");
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Why not just use Carp here? croak for die and cluck for warn give you errors from the callers perspective without having to do anythign else.

use Carp;

croak "stupid debug message";
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You mean carp instead of cluck (the latter produces a stack trace as well).

Makeshifts last the longest.

Also, you can make __FILE__ and __LINE__ lie with the #line directive (perlsyn),

$ perl -e'
> #line 200 "the office"
> warn'
Warning: something's wrong at the office line 200.
$ 
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