Fiddler (by Microsoft) is an interesting 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.
After installation you will find a Fiddler Icon in your IE toolbar where you enable the logging function with just one mouseclick (works with IE6/7).
Fiddler is a powerful HTTP proxy for Internet Explorer that allows you look at inbound and outbound HTTP headers and content. This is awesome for debugging client side HTTP requests and see what Web applicatinos are REALLY sending to server and what response headers are returned from the Web Server. You can also see chatty conversations, like redirects and authentication requests to see how protocol headers are handled.
PS: An HTTPS version is in beta right now