Imagine an application that while running injects a "Hello world" message on every web page you visit.
How do I monitor and modify all HTTP traffic happening on an OS X machine?
Monitoring and modifying all browser traffic would be good enough as well.
Solution can be language agnostic; Python would be awesome.
GlimmerBlocker achieves this by implementing a HTTP proxy server and routing all traffic through it — allowing it to modify pages as it goes along. In this instance, it blocks adverts and modifies pages to provide more features.
I imagine that most other ways of implementing this would require root etc access to do.
You can try tcpdump for monitoring. If You are interested in editing html try adding custom javascript for example with greasemonkey. If You want change headers and stuff like that try http://portswigger.net/proxy/.
How about writing "proxy" app in php? Fetching web pages in php is easy. You can make form for taking url, fetch the website, customize it and then output it...