There are a number of techniques to do this. Either the browser has some built in tool to do this (Chrome) or a plug-in like FireBug (Firefox). For Internet Explorer there are plug-ins as well like "IEHTTPHeaders".

Or there is the more traditional web proxy that you run as a separate program that intercepts port 80 traffic. I am using one of the latter called Charles Proxy. It is very well thought out and written in Java so it runs everywhere with all browsers.

Whichever you choose does not matter. What is important is that you can inspect the traffic from and to your web server.

You might want to know if your Ajax request actually fires, or if it has an Error 404 return. Having a proxy and knowing how to use it can really save you hour of work.

When it comes to web page optimization it is great to inspect what is loaded, load times and how much work can be done simultaneously.

Many of the tools will allow you to see a graph of the items being loaded and you can see if your page design is causing issues and hold-ups of a smooth page loading.

What is your favorite web development tool?