I recommend Charles Web Proxy
Charles is an HTTP proxy / HTTP monitor / Reverse Proxy that enables a developer to view all of the HTTP and SSL / HTTPS traffic between their machine and the Internet. This includes requests, responses and the HTTP headers (which contain the cookies and caching information).
It's cross-platform, written in JAVA, and pretty good. Not nearly as overwhelming as Wireshark, and does a lot of the annoying stuff like setting up the proxies, etc. for you. The only bad part is that it costs money, $50 at that. Not cheap, but a useful tool.