From Sysprogs UG:
VisualGDB is an extension to Visual Studio that allows building embedded and Linux applications using GCC and debugging them using GDB. It supports both local debugging (e.g. using an embedded simulator) and remote debugging (running GDB on a Linux machine over network). Furthermore, include directories from Linux machines can be seamlessly imported to Visual Studio and used with IntelliSense.
What's new in this version:
Version 4.0 fixed problems with custom build/debug steps pages and added support for OpenOCD debugger and building Android projects using cygwin tools.