+12  A: 

You need a proxy such as Fiddler. Fiddler is a freeware HTTP Debugging Proxy which allows you to inspect all HTTP Traffic, set breakpoints, and "fiddle" with incoming or outgoing data.

Panos
+2  A: 

Checkout HttpFox

grom
+5  A: 

Firebug is also a great addition to Firefox that will let you see HTTP traffic as well as lots of other aspects of your pages.

Ned Batchelder
+2  A: 

Live HTTP Headers is a nice Firefox plug-in.

Paul Croarkin
I use this... very useful
alex
+2  A: 

Might be a little bit of overkill in this instance, but you might want to check out Wireshark.

Kibbee
+1  A: 

Also there is Tamper Data plugin for Firefox

grom
A: 

TCPMon is a Java based TCP proxy, not as full featured as Fiddler appears to be, but runs on anything with a JVM.

Ken Gentle
A: 

i can't beleive nobody mentioned tcpdump or wireshark (the tool previously known as Ethereal). There was also a time when several articles said that every network administrator should have a Mac only to run Etherpeek (now known as OmniPeek, and runs on windows instead of mac)

Javier
I mentioned Wireshark almost 3 hours before you made this post.
Kibbee