I usually use TextPad to forge my regular expressions, since it has such great support. However, sometimes they don't translate perfectly into .NET regular expressions, which is where the lovely online DotNetCoders Regular Expression tester comes in.

Another bonus to this tool is that it shows Groups to, such as:

Expression: (.+) (.+) (.+) (.+) Match 1: This is a test Group 1: This Group 2: is Group 3: a Group 4: test

There's also a handy guide if you forget any of your syntax rules.

You might be aware that there's more comprehensive tools that you can download, such as the regular expression workbench or Larkware's RegEx Tools (both look really cool!).