Since we change between tools & technologies so often, at times I just wish I have all that information I need just at the click of a button.
Couple of links I find worth keeping handy on FIDDLER & HTTP debugging:
http://www.west-wind.com/weblog/posts/2009/Jan/14/Monitoring-HTTP-Output-with-Fiddler-in-NET-HTTP-Clients-and-WCF-Proxies Informative Writeup on using FIDDLER. The following link talks about how to get around monitoring Local traffic
http://fiddler2.com/documentation/Configure-Fiddler/Tasks/MonitorLocalTraffic There is also a registry hack that you could do. I would be posting that in due course
This BLOG from the creator himself also comes very handy http://blogs.msdn.com/b/fiddler/