Mike Bernat is a big fan of XDebug and has posted about why he thinks installing it is the best decision you'll ever make.
I finally got around to installing Xdebug on my development environment and have decided it is the best thing since sliced bread. Installation was a breeze and the information it provides when something has gone wrong is incredibly helpful during debugging.
He explains what the software does, how it can help you and your development - even how to get it up and running on your PHP install (seriously, it's drop dead easy...why haven't you installed it yet?). He also points to the tutorial on the Zend Developer Zone introducing the powerful tool.