Charles was my choice of debugging proxy before
Fiddler got worked out properly. The initial versions of Charles offered a lot more options, than the initial version of Fiddler. Today both are very feature rich and I'd suggest both to anyone. There're small details that might make you go with one or the other, but basically both are worked out quite well. Charles seemed to be abandoned for a long time (at least I remember that there was not much development at the time I discovered it many years ago), but since v2.x came out development is rolling again.
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Probably Charles has more features than Fiddler (at least this used to be the case with MS products and their competition ... and with time MS buys out the competition or just bankrupts them via marketing war or other means).
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Charles is still my first choice :-)