For all Windows folks tool written by Microsoft, which can be useful for debugging any HTTP related stuff. Fiddler (http://www.fiddlertool.com/fiddler/) is a local proxy, with nice interface for inspecting all traffic. So, when You debug some HTTP related issues, install on client this tool (requires .NET v 1.1 Framework) and redirect traffic to this proxy. Now You have all data transferred showed in very readable way.
Fiddler can use other proxy to further redirect traffic, however it can not be typed in config dialog, it is taken from IE settings. I had with this some problems – it looks like it does not like upstream proxy on localhost (SSH tunnel to other network). Anyway, when using Windows, this tool can be handy.