This is the first time I'm hearing about Jtagkey2p. I'm quite familiar with JLINK. What problems do you face with JLINK. May be you can post that to the JLINK forums. I don't know whether ULINK2 supports Linux kernel debugging.
For user-space : gdb over ethernet is fine.
For kernel-space: you must need a perfectly working debugger to focus on porting. I'm not sure which JTAG is cheap. May be you can take the help of google.