I can't get this to work in the same way that Eclipse + PDT does it. There's a good demo by classylama on this - http://www.youtube.com/watch?v=6AynpmjW5us

Sometimes after setting a breakpoint I can step over the code without breaking out of the same file, but usually/irritatingly all the other files in the call stack for the request will fire open.

And after changing variable values during debugging and hitting continue to see the result the editor wants to step through the code all over again several times.

If you are meaning stepping over a function that invokes a server request (eg AJAX) then by default PhpED does a break on start. You can turn that off using Settings > Run & Debug > Settings and untick Break on start.

I had a quick look at the video, but at 14 minutes long I wasn't sure exactly which bit was important. Magento does a lot of AJAX type stuff, so that could be it.

It means that the script was executed multiple times, possibly from different places and for different reasons (see View->Debug Windows->Debug Sessions and View->Tabs->Log for details).
If you want the debugger to step through your file just one time, you have to uncheck debug session and drop DBGSESSID cookie in the browser or explicitly set c=0 flag in DBGSESSID value.