http://stackoverflow.com/questions/2643884/gdb-multithreading
By default, GDB stops all threads when any breakpoint is hit, and resumes all threads when you issue any command (such as continue, next, step, finish, etc.) which requires that the inferior process (the one you are debugging) start to execute.
However, you can tell GDB not to do that:
(gdb) help set scheduler-locking
Set mode for locking scheduler during execution.
off == no locking (threads may preempt at any time)
on == full locking (no thread except the current thread may run)
step == scheduler locked during every single-step operation.
In this mode, no other thread may run during a step command.
Other threads may run while stepping over a function call ('next').
So you'll want to set breakpoints, then set scheduler-locking on, then continue or finish in thread 1 (thread 2 is still stopped), then Ctrl-C to regain control of GDB, switch to thread 2, continue (thread 1 is still stopped), etc.
Beware: by setting scheduler-locking on it is very easy to cause the inferior process to self-deadlock.