Actually, depending upon what kind of software you're working on, and what level of integration you would like, there are a couple avenues you might want to explore.
The first is
Microsoft Visual Studio, which provides an
IDE for several different languages with integrated debugger support, together with
Visual Team System , which integrates with Visual Studio and provides bug tracking, source control and a number of other facilities.
The second is
Eclipse together with the
Mylyn project, which integrates with various bug tracking packages like Bugzilla, Trac, and JIRA.
Is this the kind of thing that you were after?