UNIX/Linux encourages cognitive dissonance. Once you've gone through the pain of figuring out makefiles and vi(m), you tend to overrate their utility.
That's why most Linux developers stick with make even though it's ancient and painfully inefficient compared to (e.g.) a jam variant.
On the other hand, IDEs are fine until you need to understand a problem with the compiler or linker, at which point you're forced to acknowledge that they're really just pretty front ends for the command line tools. Yes, even on Windows.
My personal favourite C++ environment is on Windows, using
Source Insight as an editor, performing a in integrated custom build step using kjam or even (gasp) nmake, then using MSVC as a visual debugger.
Source Insight is commercial (with a trial period), but if you don't think it's worth paying for, then you're vastly under-valuing your time.
[UPDATE] valgrind is indeed superb, and is one of the primary reasons for investing time in running or at least unit testing your code on Linux.