I use a bunch of terminal windows. I have vim running on interesting source files, make and g++ output on another for compiler errors or a gdb session for runtime errors. If I need help finding definitions I run cscope and use vim's cscope support to jump around.
Eclipse CDT is my second choice. It's nice but huge, ungainly and slow compared to vim.
Using terminal windows and vim is very flexible because I do not need to carry 400 MB of Java around with me I can use SSH sessions from anywhere.
I use valgrind when I need to find a memory issue.
I use strace to watch what my software is doing on a system call level. This lets me clean up really stupid code that calls time(0) four times in a row or makes too many calls to poll() or non-blocking read() or things like calling read() on a socket to read 1 byte at a time. (That is super inefficient and lazy!)
I use objdump -d to inspect the machine code, especially for performance sensitive inner loops. That is how I find things like the slowness of the array index operator on strings compared to using iterators.
I use oprofile to try to find hot spots in optimized code, I find that it often works a little better than gprof, and it can do things like look for data and instruction cache misses. That can show you where to drop some helpful prefetch hints using GCC's __builtin_prefetch. I tried to use it to find hot mis-predicted branches as well, but couldn't get that to work for me.
Update: I've found that perf works way better than oprofile. At least on Linux. Learn to use perf and love it as I do.
