The debug_lib option causes the path of each loaded library to be printed to standard out. This is performed by the undocumented pyglet.lib module, which on Linux and Mac OS X must sometimes follow complex procedures to find the correct library. On Windows not all libraries are loaded via this module, so they will not be printed (however, loading Windows DLLs is sufficiently simple that there is little need for this information).
X11 errors are caught by pyglet and suppressed, as there are plenty of X servers in the wild that generate errors that can be safely ignored. The debug_x11 option causes these errors to be dumped to standard out, along with a traceback of the Python stack (this may or may not correspond to the error, depending on whether or not it was reported asynchronously).
The debug_win32 option causes all library calls into user32.dll, kernel32.dll and gdi32.dll to be intercepted. Before each library call SetLastError(0) is called, and afterwards GetLastError() is called. Any errors discovered are written to a file named debug_win32.log. Note that an error is only valid if the function called returned an error code, but the interception function does not check this.