If you are developing for Windows, the com0com project might be, what you are looking for.
It provides pairs of virtual COM ports that are linked via a nullmodem connetion. You can then use your favorite terminal application or whatever you like to send data to one COM port and recieve from the other one.
EDIT:
As Thomas pointed out the project lacks of a signed driver, which is especially problematic on certain Windows version (e.g. Windows 7 x64).
There are a couple of unofficial com0com versions around that do contain a signed driver. One recent verion (3.0.0.0) can be downloaded e.g. from here.