You didnt specify the platform you use, so I assume it's a Mac ;-)
What I do is use a proxy. I use SquidMan, a standalone implementation of Squid
I start SquidMan on the Mac, then on the iPhone I enter the Proxy params in the General/Wifi Settings.
Then I can watch the HTTP trafic in the Console App, looking at the squid-access.log
If I need more infos, I switch to tcpdump, but I suppose WireShark should work too.