Everyone loves a good fiddle, and if you say you don't then you are probably lying.
Okay, enough shinanigans! Fiddler is a Microsoft PowerToy that slots itself nicely into your HTTP stream as a proxy allowing you to have a look at all that traffic going to and fro.

There is a good MSDN article about configuring and running Fiddler which is well worth a read. Also from the Fiddler site there are some pointers to some good references. Such as:
So there you go, lots of great stuff about fiddling with yourself.
Related Resources
Fiddler Powertoy
MSDN Article - Fiddler PowerToy Part 1: HTTP Debugging
HTTP Response Codes
Header Field Definitions
HTTP 1.1 Specifications