Good news for everyone who uses gevent!
Since the last PyCharm 2.6 EAP our visual debugger is able to deal with gevent monkey-patched code.
To enable it just edit python/helpers/pydev/pydevd_constants.py in PyCharm installation and set the constant SUPPORT_GEVENT=True
Your feedback is welcome as always!
Update: In recent versions of PyCharm, the option has moved to the main settings dialog. You can enable it under Settings | Python Debugger | Gevent compatible debugging.