As for debugging, there were some comments about this recently on golang-nuts. A discussion about debugging[0]. Also Rob Pike saying GDB support is 'poor'[1] and there are bugs[2] that aren't a high priority to fix. Though, as many people pointed out on the mailing list, print statements and unit tests will cover 95% of your issues.
As for windows support, I should say that it's really just as good as the gnu toolchain support is on windows. There is no support for using Microsoft's toolchain on Windows. It can also take some work to make go apps not run within cmd terminal. I saw a blog post about it recently but I can't find it right now. But it also mentions things like the syscall[3] library docs on golang.org are actually for Linux, and it takes some steps to get them for other platforms, see the header comment here[4].
So Windows support is pretty good, but it is definitely not Google's focus. But if you've ever heard about what Windows is like within Google, there is a good reason for that.
[0] https://groups.google.com/forum/#!topic/golang-nuts/YG-APRPw...
[1] https://groups.google.com/forum/#!msg/golang-nuts/DS5ZGswXC6...
[2]https://code.google.com/p/go/issues/list?can=2&q=label%3AGDB
[3] http://golang.org/pkg/syscall/
[4] http://golang.org/src/pkg/syscall/syscall.go