Yesterday, Microsoft has released an offical new release of “Internet Explorer Developer Toolbar” that was announced in the last PDC and has been in BETA1 for so long.
The toolbar is very similar to the correponding firefox developer toolbar famous extension. I've been missing it since I saw the later one, and here it comes at last!
You can also use “Fiddler”, an HTTP debugger that logs all HTTP traffic allowing you to inspect it afterwards. It's been there for sooo long and explained at MSDN, but its success is one of the reasons Microsoft worked on that toolbar. I guess I'll be working on Firefox much less right now, and stop using it when IE 7 comes out. :-).
By the way, IE 7 BETA 2 preview is available for public if you want to give it a try.But I'd highly advise you to install it on a Virtual PC or some way alike, not your primary system, not only as it's not recommended that you install an unreleased (aka: unstable) OS or browser on the system you use to develop in general, and because of the known issues of IE7 BETA 2 listed in the release notes.