Finally got GDB working with threads on the GP2X:
http://archive.gp2x.de/cgi-bin/cfiles.cgi?0,0,0,0,1,1655
Hope someone finds this handy (people tinkering with mplayer, that's you).
I've patched mplayer to support loading a file from the command line instead of having to select it from the blue file selection screen:
http://wiki.gp2x.org/wiki/MPlayer
I'd like to do a lot more, however, debugging the threaded core is a right bastard as the GDB binary on the archive won't...