Man-in-the-middle Proxy

ZAP is a Man-in-the-middle Proxy. It allows you to see all of the requests you make to a web app and all of the responses you receive from it.
Amongst other things this allows you to see AJAX calls that may not otherwise be obvious.

You can also set breakpoints which allow you to change the requests and responses on the fly.

See also

UI Overview for an overview of the user interface
Features provided by ZAP