I also moved from PHP to Python. It's an easy step don't worry! :)
I only works on *nix stations, so I can't really say for other platforms, but python has a "batteries included" policy, so it comes already with a debugger and unit testing libraries. Most useful, it has an interactive console that I find pretty useful to quickly check the usage of a given function or method.
Of course each dev has their own preferences, but to get started developing on my home machine (running ubuntu) I just downloaded the Aptana Studio (it's free software based off eclipse) that integrates perfectly with the debugging and unit-testing libraries. As any eclipse-based IDE, it's heavy and not particularly snappy, but I personally find that the ease of use "wins" over saving the few seconds one can spare using VIM instead (which I also do for fun on another machine, anyhow).
Maybe the most important factor in switching from PHP to Python for me was that while PHP (at least to me, I don't want to start a religion war!) sounds like a "as far as it works it's OK" philosophy based programming language, python puts a lot of importance on the concept of writing pythonic code (you can type import this
in a python console to get an idea of what I mean, or read the PEP 20 online.
A good and simple introduction to python unit-testing can be found in chapter 13 of dive into python chapter. I am suggesting this source because the chapter explains the unit testing framework by following the test-first paradigma, which is common practice between seasoned python programmers.
HTH and welcome in the world of Python! :)