Fiddler
"What is Fiddler?
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"
Go and get this little gem here!