On the following platforms
x86/Linux: support is mature and almost complete.
AMD64/Linux: support is mature and almost complete.
PPC32/Linux: support is new but fairly complete.
PPC64/Linux: support is new but fairly complete.
x86/Darwin (Mac OS X): support is new.
AMD64/Darwin (Mac OS X): not officially supported, but probably works.
I would recommend Valgrind
If you are using Visual Studio, this link contains some information.
If you use Windows, not Visual Studio, then this SO page has many suggestions - and then this question should be closed :)
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