<p>I do TDD on a daily basis for my C++ development on Solaris10. It has greatly reduced the time I have to spend using my debugger but sometime this is the only option.</p>

<p>DBX is pretty powerful but not that user friendly. Note that I'm talking about console DBX not the SunStudio GUI for DBX).</p>

<p>What are the best productivity tips you can give for dbx C++ debugging?</p>

<p>PS. Changing debugger is not an option.</p>

I have bookmarked a few sites related to dbx. Here they are, in no particular order in case they might be useful to you:
Why Can't dbx Find My Function?
Online Help for the Dbx Debugger
Sun Studio: debugging a multi-threaded application w/ dbx
gdb vs. dbx: commands mapping and feature comparison
Importing debug information into dbx
command line dbx : See more source
Sun Studio C++ - Your .dbxrc
(NB: adapt the integer type used to cast pointers according to your pointer size)
Sun Studio: Investigating memory leaks with dbx
Sun Studio: Gathering memory allocations/leaks data, from a running process
EDIT on 2012 july 19th: I've tried to fix several link since Chris Quenelle's blog has moved. Some articles can still be accessed thanks to the wayback machine.