If you use R (and it seems like everybody does these days) then you should check out RStudio – an easy to install, cross-platform IDE for R. Basically it’s a seamless integration of all of the aspects of R (including scripts, the console, figures, help, etc.) into a single easy to use package. For those of you are familiar with Matlab, it’s a very similar interface. It’s not a full blown IDE yet (no debugger; no lint) but what this actually means is that it’s simple and easy to use. If you use R I can’t imagine that you won’t love this new (and open source!) tool.
UPDATE: Check out another nice article on RStudio over at i’m a chordata! urochordata!
Jabberwocky Ecology 
Looks interesting. I’ve been using Eclipse in Linux with Gnome,
http://www.walware.de/goto/statet (or Rkward under KDE)
And for years in windows I’ve used TInn-R.
As for debugging I’ve just made do with traceback() and debug(), but real matlab style debugging would be nice someday.