RegEx Buddy (http://www.regexbuddy.com) is also pretty good. It breaks down the regex into its parts in an intuitive interface. Furthermore, it allows you to easily switch between the various regex styles, along with its platform specific variation.
It's also great for deciphering expressions long forgotten, definitely a lifesaver.
RegEx buddy is great, it's well worth the money if you are doing lots of regular expressions. I had to give it up when I switched to Ubuntu (though apparently it works ok under wine).
It's also great for deciphering expressions long forgotten, definitely a lifesaver.