I was faced with this issue and got nowhere after a lot of research. Basically all available sniffers rely on the network driver stack, and Windows don't expose localhost calls through it.
What I ended up using was a tool called SocketSniffer, that peeks at Winsock's calls and monitor TCP, UDP socket connections. It helped me debug an application problem that only occurred in win 2k3.
Its download site is at http://www.nirsoft.net/utils/socket_sniffer.html
Note that this no longer works in Windows 8. Microsoft Message Analyzer is now capable of sniffing loopback traffic out of the box. Official blog post here: http://blogs.msdn.com/b/winsdk/archive/2014/08/15/rejoice-we-can-now-capture-loopback-traffic.aspx