I'm not sure where I found this tool, but it would have made my life so much simpler a few years ago when I was working on the proxy team at Sun Microsystems. In short, Fiddler shows HTTP requests and responses from your computer.
From the Fiddler website:
Fiddler is a HTTP Debugging Proxy which logs all HTTP traffic between your computer and the Internet. Fiddler allows you to inspect all HTTP Traffic, set breakpoints, and "fiddle" with incoming or outgoing data. Fiddler is designed to be much simpler than using NetMon or Achilles, and includes a simple but powerful JScript.NET event-based scripting subsystem.
The tool is fantastic and I would recommend it to anyone that does programming using the HTTP protocol. I am currently using it to debug some XMLRPC web services that we are rolling out.