I'm a small-time web developer/tinkerer, and the occasion is not rare that I need to poke around in the HTTP traffic itself to debug some particularly stick problem. There are some lightweight ways to get the job done most of the time, in particular the excellent LiveHTTPHeaders add-on for Firefox, but once in awhile I need something a bit more robust. On the other hand, there's tools like Ethereal that, though robust, are perhaps too robust. What's needed is something in the middle, like HTTPLook. It's a free Windows app that does one thing and one thing only: Sniff out your HTTP traffic and show it to you in a robust, easy-to-navigate way. To get started, you just have to click on the green Start button, and HTTPLook will record all of the HTTP traffic on your system, in and out, until you click on Stop. After that you can search among the traffic, annotate the data with notes, view or edit entities (e.g. downloaded images or HTML files), and, perhaps most useful of all, filter the data by hosts, return codes (404, 500, etc.), content types, and header fields. On top of that, HTTPLook's help files come with a complete HTTP header reference. If you use HTTPLook, I highly recommend switching to a two-pane mode that will show you both the request and response side by side.
Update: Reader Qwfwq points out that the HTTPLook download is a 15-day trial and it seems no longer possible to purchase the registered version. Big oversight on my part. Reader Peter suggests Fiddler, which is a lot like HTTPLook, has some nice-looking add-ons, and is definitely free.
HFS
