httpFox, httpScoop (Mac only) and httpWatch (IE, Firefox, windows only) are all tools I use for doing this. Additionally you can also try Fiddler (as previosuly suggested) and also if yuo're using a Mac you could try Charles Proxy. My personal favourite is httpWatch (you can easily filter on headers, content, url etc), but this is expensive so may not be an option.
You might also want to look at the HAR project (HAR stands for HTTP Archive) and is a standards based approach to recording http transactions, headers, content etc. A number of the tools mentioned are able to export thee HAR files for viewing using he HAR Viewer (which you'll be familiar with if you've looked at the waterfall feature in Firebug). In fact, you can use Firebug to generate these files/logs for you as well using NetExport.
FWIW httpScoop is a good method for debugging/tracing HTTP traffic on a wireless network, I wrote an article about doing this some time ago: http://blog.adtools.co.uk/trace-debug-mobile-application-http-requests-using-macos/