There is quite a nice graphical debugger package for the Arduino that has been
adapted for the esp8266 called Sloeber. The CPU inside the esp does not support
JTAG. It does support debugging using the ASYNC port. The chip has one
hardware breakpoint so you can do debuging in read only memory.
I have used GDB a lot and used JTAG a lot but I have not used a CPU that debugs
through the ASYNC port. To facilitate debugging in your target code you link
in a small piece of code called the stub driver. Early in the program you
set the BAUD rate and call gdbstub_init(). From there GDB running on a PC
should be able to grab hold of the target and control it. It is the
connection that is failing for me.