I recommend Charles Web Proxy
Charles is an HTTP proxy / HTTP monitor / Reverse Proxy that enables a developer to view all of the HTTP and SSL / HTTPS traffic between their machine and the Internet. This includes requests, responses and the HTTP headers (which contain the cookies and caching information).
- SSL Proxying – view SSL requests and responses in plain text
- Bandwidth Throttling to simulate slower Internet connections including latency
- AJAX debugging – view XML and JSON requests and responses as a tree or as text
- AMF – view the contents of Flash Remoting / Flex Remoting messages as a tree
- Repeat requests to test back-end changes, Edit requests to test different inputs
- Breakpoints to intercept and edit requests or responses
- Validate recorded HTML, CSS and RSS/atom responses using the W3C validator
It's cross-platform, written in JAVA, and pretty good. Not nearly as overwhelming as Wireshark, and does a lot of the annoying stuff like setting up the proxies, etc. for you. The only bad part is that it costs money, $50 at that. Not cheap, but a useful tool.
Read more about Charles's features.