On Unix systems, you usually still want to use gdb, just with a Frontend. On Mac OS X, this will usually be XCode, on KDE I like to use kdbg. There is ddd, too, which is ugly as hell but works well.

On Windows you probably can't beat Visual Studio.

I'm currently having to use pure gdb to debug some Mac OS X kernel code, and I feel your pain. Using a frontend is much nicer.