We use Charles extensively at work, it's a great tool.

The only thing that really annoys me is that, this being a Java app, the interface works slightly different than the standard OS X interface I'm using to.

I regularly use cmd + backspace, for example, to delete all text until between the beginning of the line and the cursor. In Charles this is a hot key that removes all recorded requests. There are more of such things.

I've been looking for a similar app with a native UI, but haven't been able to find one yet.