Fiddler HTTP Debugger

Fiddler is a 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.

This is a great little tool for finding out where all your HTTP requests are going. Interested in finding out what advertisement company a site is using, Fiddler can help you out!

More info here.