Fiddler is one of the few good software from Microsoft that I know (actually I don't remember whether this was an MS project right from the start or did they just simply buy out the developer company). It works only on Windows and recent versions require .NET, but it's nothing one cannot live with. It is feature rich, supports a lot of views of HTTP sessions, supports various methods for HTTPS traffic capturing, etc. This is one of the best HTTP debugging tools for use on the Windows platform.
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