at least on OSX when a process terminates abnormally there is a logfile generated by the system that shows which thread crashed and what the call stack was for that thread (and all the other threads too.)
on windows, i don't know. there is an "event viewer" but i've had limited success on postmortem analysis using that tool.
PI can be run from the command line, and it does output a couple of things here and there to the console, but it's not too much.
don't know about debug mode, juan would have to comment.
rob