I know Jeff Atwood is a fan of this, and I'm surprised it's not made it on to Scott Hanselman's 2007 Ultimate Developer and Power Users Tool List for Windows tools list yet.
RegexBuddy is a brilliant tool and a great way to learn regular expressions. The documentation and introduction to regex is worth the price of admission alone.
The expression tree view in the lower window practically talks to you as you build up and test your expressions. The expression to the right will match any incoming Url to myabsolutepath/subdir that begins and ends with either:
I love this application.