cygdb (Cython gdb) does not work with pandas
Old style Cython debugging ([link](https://github.com/cython/cython/wiki/DebuggingTechniques)) probably works. I haven't tried it.

Cython 0.14+ comes with `cygdb`, but `setup.py` must use `cythonize` on extensions in order to use it. I will implement this if I have a need for it, but PRs welcome :grin:.
