A new article on the LLVM blog speaks about LLDB coming on Windows soon:

LLDB is Coming to Windows

by Zachary Turner

From the article:

We've spoken in the past about teaching Clang to fully support Windows and be compatible with MSVC.  Until now, a big missing piece in this story has been debugging the clang-generated executables.  Over the past 6 months, we've started working on making LLDB work well on Windows and support debugging both regular Windows programs and those produced by Clang...