pdb the base one

The pdb module is the default one. This module is in the core Python library : http://docs.python.org/lib/module-pdb.html

ipdb

ipdb is a layer in the top of pdb. This modules add the auto completion, the colors, ...
To install this module (multi OS) : 

easy_install ipdb

winpdb

winpdb is a GUI which use pdb.
http://www.winpdb.org/images/screenshot_winpdb.png
To install winpdb : http://www.winpdb.org/?page_id=3