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Wiki Markup \[http://www.fiddlertool.com/fiddler/ Fiddler\] - requires .NET
Wiki Markup \[http://www.mentalis.org/soft/projects/proxy/ Mentalis Proxy\] - written in c#
Wiki Markup \[http://www.wireshark.org/ WireShark\] (previously \[http://www.ethereal.com/ Ethereal\]) - "The world's most popular network protocol analyzer"