Fiddler

Fiddler acts as a proxy, it runs on your Windows desktop and captures traffic going between your browser and a remote website so that you can see what is going on. I remember trying it out a couple times at different jobs but nothing struck me as truly great about it.

You can do pretty much the same thing with Wireshark, I think. Fiddler is just tuned for web whereas Wireshark is generic network data capture.

I got as far as putting a proxy on a Linux box and pointing my browser at it, but I can't remember why I did that. I just remember that it worked.