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:
Informative Writeup on using FIDDLER.
The following link talks about how to get around monitoring Local traffic
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/