Comment by hansnielsen

I use Burp (and much of its featureset) every day at work; that's why I used it here. The free edition does basically everything you could want except for saving / restoring states (request history, requests you modified, etc). I've also used Fiddler to great effect in the past, but the fact that Burp is written in Java makes it really convenient to use when you deal with multiple OSes.