Winpdb supports debugging of threads- and curses based applications, namespace modification and embedded debugging. As a remote debugger, it uses (encrypted) network connections to connect to the debuggee (which is running on the same machine, usually).
Winpdb is the graphical, wx-based frontend to rpdb2, which is also included in this package. rpdb2 is text based and able to use screen sessions if there is no x-terminal-emulator available.
Winpdb is up to 20 times faster than pdb.