The most powerful free online regexp testing tool is by far http://regex101.com/ - lets you select the RE engine (PCRE, JavaScript, Python), has a debugger, colorizes the matches, explains the regexp on the fly, can create permalinks to the regex playground.
Other online tools:
http://www.rexv.org/ - supports PHP and Perl PCRE, Posix, Python, JavaScript, and Node.js
http://refiddle.com/ - Inspired by jsfiddle, but for regular expressions. Supports JavaScript, Ruby and .NET expressions.
I use Expresso (www.ultrapico.com). It has a lot of nice features for the developer. The Regulator used to be my favorite, but it hasn't been updated in so long and I constantly ran into crashes with complicated RegExs.
I agree on RegExBuddy, but if you want free or when I'm working somewhere and not on my own system RegExr is a great online (Flash) tool that has lots of pre-built regex segments to work with and does real-time pattern matching for your testing.
If you are an Emacs user, the command re-builder lets you type an Emacs regex and shows on the fly the matching strings in the current buffer, with colors to mark groups. It's free as Emacs.
I'll add to the vote of Reggy for the Mac, gonna try out some of the other ones that Joseph suggested and upvote that post tomorrow when my limit gets reset.
I am still a big The Regulator fan.
There are some stability problems but these can be fixed by disableing the Intellisense. It gets mad with some expressions and typos in building an expression.
Would love it if Roy Osherove updated, but looks like he is busy with other things.
I like to use this online one:
http://www.cuneytyilmaz.com/prog/jrx/
Of course, it'll be javascript regexp, but I've never yet done anything clever enough to notice the difference.
How much is your time worth? Pay the $40 and get RegexBuddy. I did, and I even upgraded from 2.x version to 3.x. It has paid for itself many times over.
If you just want to write a regular expression, have a little help with the syntax and test the RE's matching and replacing then this fairly light-footprint tool is ideal.
In the past I preferred The Regex Coach for its simplistic layout, instantaneous highlighting and its price (free).
Every once in awhile though I run into an issue with it when trying to test .NET regular expressions. For that, it turns out, it's better to use a tool that actually uses the .NET regular expression engine. That was my whole reason to build Regex Hero last year. It runs in Silverlight, and as such, runs off of the .NET Regex Class library directly.
http://rgx-extract-replace.appspot.com
has the functionality to enlist the captured regex groups formatted in columns and
optionally can replace the matched patterns in the input text.