I've tried a couple of different guis for gdb and have found DDD to be the better of them.
And while I can't comment on other, non-gdb offerings for linux I've used a number of other debuggers on other platforms.
gdb does the majority of the things that you have in your wish list. DDD puts a nicer front on them. For example thread switching is made simpler. Setting breakpoints is as simple as you would expect.
You also get a cli window in case there is something obscure that you want to do.
The one feature of DDD that stands out above any other debugger that I've used is the data "graphing". This allows you to display and arrange structures, objects and memory as draggable boxes. Double clicking a pointer will open up the dereferenced data with visual links back to the parent.