Realised after much head-scratching in relation to this question that gdb seems to be broken in emacs 24
gdb
emacs 24
So I have switched to gud-gd
gud-gd
gdb is working for me out of box on GNU Emacs 24.3.1.
If it still doesn't work for you, please try to use command:
gdb --fullname binary_name
insead of default
gdb -i=mi binary_name