In contrast with the other answers, there are at least three options that do just what you require: clewn, pyclewn and vimgdb.
All three projects are related. vimgdb is a patch against Vim and requires Vim to be recompiled. clewn is a standalone program that communicates with Vim through the Netbeans socket interface. This requires Vim to be built with the +netbeans option (this is the case in recent Linux distributions so it shouldn’t be a problem).
To quote from the clewn’s website:
Clewn implements full gdb support in the vim editor: breakpoints, watch variables, gdb command completion, assembly windows, etc.
I think you should definitely give it a go.
The homepage of the pyclewn website shows a comparison between the three projects.
A few months ago I tried pyclewn. It was a bit difficult to set up, but it looks well though out and promising. I just did some tests and you could set bookmarks, etc., the usual stuff you would expect from a graphical debugger. I ended up not using it for contingent reasons but I am keen to give it another try.