When enabling XDebug, I noticed that session handling does not work correctly. Digging into the problem, I tested the following script:
<?php

session_start();
echo session_id();
session_write_close();

?>

With XDebug enabled, the session ID changed with every request, when it was disabled, the session ID remained the same. The session cookie was not set when XDebug was enabled.
The response headers are incomplete when XDebug is enabled. Here the original Response Headers without XDebug:
Without xdebug:
Date: Sun, 14 Feb 2010 13:32:32 GMT
Server: Apache/2.2.14 (Win32) PHP/5.3.1
X-Powered-By: PHP/5.3.1
Set-Cookie: PHPSESSID=bi249o18l6tengq726iauv7l43; path=/
Expires: Thu, 19 Nov 1981 08:52:00 GMT
Cache-Control: no-store, no-cache, must-revalidate, post-check=0, pre-check=0
Pragma: no-cache
Keep-Alive: timeout=5, max=100
Connection: Keep-Alive
Transfer-Encoding: chunked
Content-Type: text/html

Here the headers for the same request with XDebug enabled:
Date: Sun, 14 Feb 2010 13:34:32 GMT
Server: Apache/2.2.14 (Win32) PHP/5.3.1
Keep-Alive: timeout=5, max=99
Connection: Keep-Alive
Transfer-Encoding: chunked
Content-Type: text/html

This effectively keeps me from debugging any application which relies on PHP's session handling.