I've found this web page http://regexlib.com/RETester.aspx useful for testing RegEx expressions. It can evaluate using the .Net engine or the client side engines for VBScript or JavaScript.
I like this online tool from RegExLib because it's available on any machine I'm at, but the Expresso app from UltraPico.com, that Jackson recommended in a comment to the original question post, looks good. Better than just testing, it helps build your RegEx. I just downloaded it and I'm going to give it a try.
Now if there was only a tool that could read a complex regex, and give a natural language description of what it was supposed to be doing. Especially if you could indicate you were parsing HTML or some other type of data format, so that the description would be tailored to the use. :)