If you've never heard of Fiddler, I strongly encourage you to give it a try. The interface is a bit overwhelming at first, but after you spend a couple minutes getting used to it, you'll realize how powerful it is. With a minimum of configuration (in most cases, just install it and run it), you can start capturing all the HTTP traffic that goes in and out of your machine so you can pull it open and look at it.
To get started, all you really need to know is that in the default view, individual requests fill up the list on the left. If you click on a request, the "statistics" and "inspectors" tabs on the right will fill up with interesting information. The most interesting tab tends to be "inspectors," which will show you the request on top and the response on the bottom. The different tabs, like TextView, HexView, Raw, XML, etc. will change the visualizer used to show you the HTTP stream.
If you're playing around with a WCF application, Fiddler is the fastest and easiest way to see exactly what's going across the wire. However, there are a few things you might need to know about configuring WCF so that Fiddler captures the traffic.
I was going to write a post that gathered up all the tips I had found, but fortunately, someone has already done that for me - unlike a lot of other articles I've read that mention WCF only in passing and stick to getting Fiddler up and running with browsers, Rick Strahl has an excellent post about all the finnicky things you might run into when you're trying to get your WCF application traffic logged. Some of the information seems like maybe it's a bit out of date (for example, on Win7/VS2010/.NET4/Fiddler2, trying to use the "extra dot" trick with 127.0.0.1 to log traffic going to my Cassini debugging server wouldn't work, but "localhost" with an extra dot does, contrary to his post. In any case, the information in his post will at the very least point you in the right direction. Make sure to read the comments too, as there are some insights there as well.
My problem the other day that was driving me bonkers was that I had everything set up correctly, and by forcing use of a proxy I could essentially prove that my traffic was going through Fiddler (my client app would fail when Fiddler wasn't running but would succeed whe nit was), but the traffic wasn't showing up. Rick's post pointed out the easy to miss process filter at the bottom of the Fiddler window - mine had gotten flipped to Web Browsers and so it wasn't logging any traffic that wasn't from IE or FireFox.
UPDATE: If you want to do the "localhost-dot" trick with Silverlight when debugging on Cassini -first, change ServiceReferences.ClientConfig or whatever code or configuration you need to to point the client proxy at "localhost." instead of "localhost." Next, F5 to load up the debugger. When your site loads, change "localhost" in the address to "localhost.". This will re-download and re-run the XAP from "localhost.", so you are free to contact the service and it will be logged through Fiddler. The other way to do it, without changing the browser address, is to add a clientaccesspolicy.xml to your Web project that grants the appropriate permission - Cassini will host this too, so when you run your XAP from "localhost" and it tries to contact services on "localhost.", Silverlight will find it.