HTTPWatch is a nice tool to inspect HTTP traffic in easy and convenient way and it works in both IE and FF now. Drawback - windows-only and paid. But the free version is good enough for many tasks. HTTPWatch can be automated and scripted which is pretty cool for a number of monitoring-like tasks.

In the first post he shows you how to get started with the tool - installation and using it in a sample script (via a COM object). He creates FireFox and IE windows and shows how to clear their caches and record the traffic. He's included a screencast of it all to show the result. In the second post he shares a library he's written to help make it even simpler to use (complete with code samples).

UPDATE: He's also posted part #3 that's more about using COM and PHP.