My Sams Teach Yourself Regular Expressions in 10 Minutes uses a little RegEx Tester utility to aid study, and versions of this utility have been posted for multiple languages. The next most requested language is PHP, and I just posted a PHP port of the utility created by my co-worker Charles Bihis. Thanks, Charles!
Ben,
Just to give you another example of HTML RegExp Tester
http://paperinside.com/util/retester.htm
Feel free to include it if you would.
Regards
Its not a HTML regEx helper, but I used The RegEx Coach, and it is amazing! http://www.weitz.de/regex-coach/ It shows highlighting, partial highlighting by group (to see which parts are matched by group), splitting. It even attempts to translate the expression into english. A MUST HAVE for anyone learning regular expressions.