HTTP monitors and debuggers are tools that monitor the HTTP traffic to/from the server; they are essential for ajax debugging.

For Firefox the answer is short, simple, and cannot be understated. http://getfirebug.com

For WinXP there is a handy tool called Fiddler; it configures itself as proxy and it's a one click configure and use kind of tool, so it's just easier to use than Achillies and others we've tried. Shows all the parameters from the client going out to the server, and raw text and XML, even compressed HTML coming back; opens up the client so it's not a black box any more.

Ethereal is also very popular.

While it's not a debugger, we've found the JavaScript Shell to be a really great tool for analyzing problems, and even just exploring JavaScript libraries like dojo. It works best as a Firefox bookmarklet, in which case you can open it in the context of any given page and invoke javascript functions yourself, evaluate expressions, redefine functions, etc.