g++ of course, but also Code::Blocks which is an absolutely fantastic cross platform IDE (Win32, *nix, Mac).
I use the nightly (more like weekly lately) builds from the SVN. It has almost all the bells and whistles you would expect from a modern IDE. It's really a truly fantastic Open Source project.
Also, on Linux you get the joy of using Valgrind which is probably the best memory tracker (it does other things as well) tool that money can buy. And it's free :) Track down memory leaks and more with ease.
And there is just so much more! Linux is such a great dev platform :)
(edit) Just realized you mentioned Valgrind in your question, silly me for reading it too fast.