It is one of the non-plus-ultra tools for HTTP debugging. If using it as system proxy all applications are using it including MSN Messenger or other HTTP enabled applications. It is very easy to see what is going over the line.

There is a script editor where you can modify the results or what you want to exclude from the list. You can also write your own plugins.

On thing that is also very cool is the HTTP request builder where you can modify a HTTP requests by adding header values, modifing content,...

On Windows XP/2000 Professional you may have sometimes problems with the restriction of 10 simultaneous requests.

There are some other small utilities I love:

http://www.bayden.com/SlickRun/
http://www.bayden.com/Other/