Fiddler - The Free Web Debugging Proxy

I guess the multi-platform Burp Proxy should fit the bill..

http://portswigger.net/burp/

I have seen a number of good reports for Charles Proxy: http://www.charlesproxy.com/

I have not tried it myself. The price is not too bad but for something that I only occasionally need, I prefer a free solution. Fiddler seems to fit the bill as long as you have a Windows machine/VM to install it on.