I actually use a local instance of nginx/openresty as my web debugging proxy. I should write a blog on it or something, since it seems like few people do.

It's free. It's a breeze to set up, all you need to do is point it at the upstream server you are testing, and it has lua support so you can write code and modify requests on the fly, strip headers, inject things with code.

All the work is already done to manipulate HTTP requests and responses in nginx so it is actually really smooth, there is no learning curve of a new tool, and everything just works.