>>> I have the following line in my .emacs:
>>> (define-key gud-mode-map [f9] 'gud-break)
>>> and I get an error that the value of gud-mode-map is void.

>>
>> You need to load library `gud' before you do that.
>> It defines variable `gud-mode-map' and gives it a value.

>
> So, if you don't want to load `gud' on Emacs start-up, use `add-hook':
> (add-hook 'gud-mode-hook
> (lambda () (define-key gud-mode-map [f9] 'gud-break)))