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The best online tool I've seen is http://www.debuggex.com/

I'll add http://www.regexper.com/ to the various sites everyone posted, I find that this one output the nicer graph.

http://regexpal.com/ or for a paid desktop program http://www.regexbuddy.com/, which is most excellent

Regexbuddy is great. Well worth the coin I paid way back when

I've used the previously mentioned regexpal quite often. http://www.rubular.com is another one for Ruby only.

While people are recommending online regex tools.. http://regex101.com/