This is a legendary tool developed by the author of The Web Application Hacker’s Handbook: Finding and Exploiting Security Flaws (2nd edition).

Unfortunately there is no native Mac Os X version but Corsaire packed one. Since they updated the site, the link to download it provided in the aforementioned book is broken, so I will provide a new working one of the recently released version 1.5 1.6 of Burp Suite Free.
All rights reserved to Corsair and Portswigger.

The version at this link
DOWNLOAD HERE
is now outdated (it also requires JDK 6, which is no longer supported).
A free binary version for Mac OS has been made available:
Burp Suite Free Edition

See also here for a [much less powerful] alternative.