If you use OpenGL you must check out this free debugger: glslDevil.
Quoting autors, glslDevil is a tool for debugging the OpenGL shader pipeline, supporting GLSL vertex and fragment programs plus the recent geometry shader extension. By transparently instrumenting the host application it allows for debugging GLSL shaders in arbitrary OpenGL programs without the need to recompile or even having the source code of the host program available. The debug data is directly retrieved from the hardware pipeline and can be used for visual debugging and program analysis.
I'm going to test it in near future, hoping it could handle OGL 3.x code (gDEBugger fails to do so and doesn't support Win7).
