Not sure what you would consider cheap, but the Zend Studio is about $250 and has local and remote debugging capabilities.
4:57 pm on Jan 21, 2005 (gmt 0)
I'm one of the ones who has never managed to get PHPEdit with debugging to work, but I haven't tried in a long time (I have installed and uninstalled it a couple of times just in hopes of getting that feature).
I haven't used it in years, but Kommodo used to have pretty good debugging. No idea how much it costs these days.