I've seen a few posts in the forums and newsgroup about various HTTP tools. Here is a list I've seen so far. If you have one, feel free to add it to the post. I saw a great post in the newsgroups but can't find it that had a few others..
wfetch.exe
http://support.microsoft.com/kb/284285
Tinyget.exe
http://support.microsoft.com/kb/840671
Fiddler
http://www.fiddlertool.com/fiddler/
HTTPWatch
http://www.httpwatch.com/
IEWatch
http://www.iewatch.com/
Ethereal
http://ethereal.com/