Hi,
debugging Drupal is as easy as debugging any PHP application in fact :)
there's Visual Studio plugin which adds support for PHP http://www.jcxsoftware.com/ - it is commercial unfortunately.
If you're looking for free solutions working with X-Debug I'd recommend
well hopefully you won't be mad with mebut I'll recommend also my own IDE as well
- HateML 2 - http://hateml.com/ - not 100% ready yet, but working with projects & debugger is pretty complete. What's important, I've updated it to work with latest XDebug release which broken support for "watches" feature in some old IDEs.
There are also Java-based IDEs (like mentioned Eclipse, or Aptana, NetBeans etc) however I have no experience with them as they consume way too much memory as for me