If you are looking to debug a problem with HTTP server and would like to see HTTP requests / header responses in raw format, use shell tools or Firefox extensions.
Why do I need to dig out web server headers?
[a] Help debugging web application.
[b] See which kind of web server the remote site is using.
[c] See the cookies sent by remote site
[d] Learn http protocol and much more
Let us see Linux / UNIX command line tools to dig out headers.
wget command is not just downloading utility. It can be served as debugging tool. You need to pass -S option to wget command, which will print the headers sent by HTTP servers and responses sent by FTP servers.
$ wget -S http://theos.in
Resolving theos.in... 126.96.36.199
Connecting to theos.in|188.8.131.52|:80... connected.
HTTP request sent, awaiting response...
HTTP/1.0 200 OK
Content-Type: text/html; charset="UTF-8"
Date: Thu, 16 Aug 2007 20:02:16 GMT
Length: unspecified [text/html]
[ <=> ] 44,214 32.56K/s
01:32:17 (32.50 KB/s) - `index.html' saved 
If you are just intrested in headers pass --spider option to wget. With this option wget behave as a Web spider, which means that it will not download the pages, just check that they are there.
$ wget -S --spider http://theos.in/
Other command line tools
UNIX / Linux offers so many options. You can try out old good telnet command, lynx browser, curl command and other tools:
$ lynx -head -dump http://theos.in/
$ curl -I http://theos.in/
You can use telnet as follows:
$ telnet theos.in 80
HEAD /index.php HTTP/1.1
If you are using Windows or just wanted to get information on fly, try firefox extension - LiveHTTPHeaders. It adds a 'Headers' tab in 'View Page Info' of a web page. You can also see a tool in the 'Tools->Web Development' menu to be able to display http headers in real time while pages are being downloaded from the Internet or web server. It also allows you edit request headers and replay an URL (good for testing web app security).
=> Visit project download page here
You can use specialized tools such as WireShark network protocol analyzer or tcpdump for the same purpose.