Most are free, some are browser-specific, and I've tried to break the list up that way. These tools are also referred to as MITM, or Man In The Middle, proxies or http sniffers.
[Update: Since writing this in 2006, most modern browsers now provide this sort of client proxy/debugging functionality built-in. I wrote about them in a 2012 blog entry. Also, I long ago moved this list (and more such tools) above to a new location with far more updated info: a category in my CF411.com list of tools and resources for CFers.]
And there are still other ways to do the kind of communication analysis, including tcp trace tools and even a Sniffer and a tcpmon tool, both built into CFMX and useful for watching the http traffic going into CF. There's also the NetConnection Debugger for Flash and Flex. Still, I'm limiting this discussion just to HTTP debugging proxies. If folks know of still others, feel free to add them in the comments.
Free, General-purpose HTTP Debugging Proxies
Free, IE-only Proxies
Free, Firefox-only Proxies
I'd like to point out as well that this list appears, along with other similar lists of tools related to CF, on an older site I still maintain: http://www.systemanage.com/cff/considering_products.cfm