When I started Win32 exploit development many years ago, my preferred debugger at the time was WinDbg (and some Olly). While Windbg is a great and fast debugger, I quickly figured out that some additional/external tools were required to improve my exploit development experience.
Despite the fact that the command line oriented approach in windbg has many advantages, it appeared not the best tool to search for good jump addresses, or to list non-safeseh compiled / non-aslr aware modules, etc…. Ok, looking for a simple “jmp esp” is trivial, but what if you are looking for all pop pop ret combinations in non-safeseh compiled modules… Not an easy task.
It is perfectly possible to build plugins for Windbg, but the ones that I have found (MSEC, byakugan (Metasploit)) don’t always work the way I want them to work, and would still not solve some issues I was having while writing exploits.
OllyDbg and Immunity Debugger are quite different than windbg. Not only the GUI is very much different, the number of plugins for these debuggers is substantially higher. After evaluating both of them (they pretty much have the same look and feel), and evaluating the way plugins can be added, I made the decision to focus on Immunity Debugger.
That does not mean OllyDbg is a bad debugger or is limited in what you can do in terms of writing plugins… I just found it harder to “quickly tweak a plugin” while building an exploit. OllyDbg plugins are compiled into dll’s, so changing a plugin would require me to recompile and test. Immunity Debugger uses python scripts. I can go into the script, make a little change, and see the results right away. Simple.