While working on some ASP.NET form validation today, I came across a great regex tester / builder called Regex Hero. The main feature is their .NET Regex Tester, a Silverlight app, and while it requires registration (Google, Yahoo, AOL, OpenID, etc.), this gives you the ability save your regular expressions to your personal library on the site. You can also use the site’s public library, but contributions are a little anemic at this point. The app has a few other nice features, including real-time expression matching, a built-in regular expression reference, .NET code generation, and performance benchmarking.
The app is free for basic use, but it will nag you every 5 minutes to buy the paid version. The full version is $20 and comes with the nice addition of Intellisense-like code completion and a desktop version of the app. Future upgrades are free for the full version.