I use the Fiddler proxy to debug all kinds of HTTP issues on Windows. It's great for inspecting headers and responses across multiple pages.
Is there a good HTTP debugging proxy for Mac and Linux? I found Charles, but it's $50 once the trial runs out and it crashed on me. I could use Wireshark, but it's a pain.
If you can do some Perl, I think you should have a look at the HTTP::Proxy module.
FWIW, you can, of course, just use Fiddler on a Windows PC and point the Mac/Linux box at it. http://www.fiddler2.com/fiddler/help/hookup.asp#Q-NonWindows
I personally find Wireshark to be quite easy to use. Just apply a filter for HTTP traffic and right click on the traffic going/coming to/from your site and click "Follow TCP stream".
But, if you want something a little more specific for HTTP debugging I would recommend Firebug http://getfirebug.com/
If you limit yourself to Firefox, the Tamper Data extension is pretty solid.
Wireshark won't help you if you have to debug HTTPS requests. Firebug and Tamper Data are getting close, but for thorough analysis, I sometimes like to save a recorded session. I'd recommend giving Parosproxy a try. It is a Java application serving as a http(s) proxy; although it seems to be no longer under active development, it provides quite a lot of features and proved to be very helpful to me in the past.