Online regex testers are nice but nothing beats RegexBuddy [1] IMO. I have fond memories of me using it while on high school to naively parse HTML using regular expressions only. Good times.
Came here to promote RegexBuddy myself. It's the one thing I truly miss in my transition from Windows to Mac. I run it in WineBottler[1] now and it works well enough but I'd pay good money for a native Mac version.
i love regexbuddy. I made a similar app (regexpixie.com, windows exe) that also uses the blue-yellow coloring to differentiate between matches.
The biggest difference is that RegexPixie has really good support for named groups. Frankly, it's beyond me why people don't use named groups for regex documentation.
1: http://jdon.at/HpTd+