Fiddler HTTP Debugger - A free web debugging tool

http://www.fiddlertool.com/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 includes a powerful event-based scripting subsystem, and can be extended using any .NET language.

Fiddler is freeware and can debug traffic from virtually any application, including Internet Explorer, Mozilla Firefox, Opera, and thousands more.

http://www.fiddlertool.com/Fiddler2/firstrun.asp

MSDN
Fiddler PowerToy - Part 1: HTTP Debugging
http://msdn2.microsoft.com/en-us/library/bb250446.aspx
http://www.cnblogs.com/FrameWork/archive/2006/10/16/529835.html (中文)

Fiddler PowerToy - Part 2: HTTP Performance
http://msdn2.microsoft.com/en-us/library/bb250442.aspx
http://www.cnblogs.com/FrameWork/archive/2006/10/16/530827.html (中文)