I too have been frustrated by the lack of good graphical http clients available for Windows. So over the past couple years I've been developing one myself: I'm Only Resting, "a feature-rich WinForms-based HTTP client." It's open source (Apache License, Version 2.0) with freely available downloads.
It currently has fairly complete coverage of HTTP features except for file uploads, and it provides a very good user interface with great request and response management.
Here's a screenshot:
(source: swensensoftware.com)