How can I change web page requests coming from an application? I'm using an app that makes http requests for content. I'd like to capture those requests and change them on the fly, so that a different request goes out to the http server, and thus different content comes back. I could do this with a full fledged web proxy, but I am hoping for a simpler and more transparent solution, possibly something that hooks into the OS to catch those network calls.

AdMuncher is my program of choice for this task on Windows.
Have a look at GlimmerBlocker which primarily is an ad-blocking proxy but can also be used to rewrite requests and responses.