I've long been a fan of the Firebug extension for Firefox. It gives you great visibility into the ebb and flow of browser traffic. It sure beats rolling your own SOCKS proxy to stick between your browser and the destination site.
Now, I have to also endorse YSlow from Yahoo. YSlow adds interpretation and recommendations to Firebug's raw data.
For example, when I point YSlow at www.google.com, here's how it "grades" Google's performance:
Not bad. On the other hand, www.target.com doesn't fare as well.
Along with the high-level recommendations, YSlow will also tally up the page weight, including a nice breakdown of cached versus non-cached requests and download size.
There are so many good reasons to use this tool. In Release It, I spend a lot of time talking about the money companies waste on bloated HTML and unnecessary page requests. Fat pages hurt users and they hurt companies. Users don't want to wait for all your extra whitespace, table-formatting, and shims to download. Companies shouldn't have to pay for all the added, useless bandwidth. YSlow is a great tool to help eliminate the bloat, speed up page delivery, and make happy users.