LiveHTTPHeaders is a FireFox extension that lets you look at all HTTP headers for all requests issued by the browser.
I am updating and resurfacing this post today since -- after a long while of being mildly maintained -- this fine plugin seems to have effective backing again. Version 0.17 works on FireFox 9.x.
Even in the days of FireBug, LiveHTTPHeaders is still an irreplaceable tool in a web developer's toolkit. As a matter of fact, LiveHTTPHeaders is the best way to track chains of redirects, which FireBug doesn't display right, as it will often clear the "Net" tab from one request to the next.
The header tracking window can be opened through Tools > Live HTTP Header. It will then capture all requests and display HTTP headers being sent as well as headers being received. Note that it is possible to stop capture at any time so the display stops scrolling. It is also possible to filter out specific requests (for example images) with a regular expression (regexp).
The extension also extends the Page Info windows with a Headers tab, which is useful if you just want to see the headers for the current page.
Finally, it's also possible to edit requests and replay them again, modified. At this time this is still in beta though, and Tamper Data may be a better extension for that purpose.