How do you watch HTTP requests an iPhone app is making?
The easiest method is to install a debugging proxy and point your iPhone to it (specify the proxy address in the settings for the wifi network). Obviously, this'll only work over wifi and not via a cellular data connection. You'll then have access to all of the http(s) requests and responses sent and received by your iPhone.

Something like Paros can do what you want (it's written in Java, so will run on most platforms).