How do you watch HTTP requests an iPhone app is making? Just the same way you can open the web inspector or activity window in Safari on your laptop and see all the HTTP requests any website has made, how do you do that on the iphone for an iPhone app, if the iPhone app is using HTML5 (or even if it's a native app)?
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).