Fiddler is a great little tool for viewing HTTP traffic on your machine. It sets up a debugging proxy server on your machine so it can easily snoop all of the HTTP traffic from any apps that properly detect the proxy. You can see each request and response. It makes it easy to see the headers and also has viewers for lots of common types of traffic. It's much easier to use that applications like EtherPeek or Netmon (but far less general and powerful).