Firefox plugin or way to monitor ALL request data, including headers and content downloaded to browser

Try Tamper data firefox add-on, an extension to track and modify http/https requests.

You can find a nice tutorial here.

Firebug + Tamper Data is the best couple of firefox tools I cannot live without.

I could find all requests with all info and redirects without installing anything. Check Web Console in Tools -> Web Developer.

Have you looked at Fiddler?