Check out Visual REGEXP, "a graphical explorer for your regexps".
It runs in Tcl\Tk, so it's cross platform. The entire thing is in one TCL file! It really works great, though unfortunately it's limited to the regular expression support in Tcl, which isn't that great compared to Perl (or "Perl compatible" languages like Python or PHP).
I had no idea there was something prior to ActiveState's Komodo that allowed you to do this. This isn't as involved as Komodo's Rx debugger, but this is fast and free, and it helped me solve the problem I was having!
Also, if you're interested, check out the regular expressions tutorial the author recommends.
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