In Vim, I have these three bindings:
map <F9> Oimport rpdb2; rpdb2.start_embedded_debugger("asdf") #BREAK<esc>
map <F8> Ofrom nose.tools import set_trace; set_trace() #BREAK<esc>
map <F7> Oimport traceback, sys; traceback.print_exception(*sys.exc_info()) #TRACEBACK<esc>
rpdb2 is a Remote Python Debugger, which can be used with WinPDB, a solid graphical debugger. Because I know you'll ask, it can do everything I expect a graphical debugger to do :)
I use pdb from nose.tools so that I can debug unit tests as well as normal code.
Finally, the F7 mapping will print a traceback (similar to the kind you get when an exception bubbles to the top of the stack). I've found it really useful more than a few times.