I'm one of the guys for wich debugging didn't work for quite some time, now it works "out of the box" i don't set anything and it just works, try getting the snapshot from http://www.ca.freepascal.org/Lazarus
I didn't care about debugger much since i only use breakpoints and i can always user WriteLn or ShowMessage in some parts of the code where i think there are problems.
From what i know the debugger always worked on Linux without any special setup and now it works fine in win32 too.