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.
