I am big fan of RegExBuddy, but its windows only.
Even though I am not as efficient product developer as people at Just Great Software, I wrote a simple UI based RegEx tester called RegExGeleya. I used Netbeans, its a pretty cool IDE to develop Java UI.
You can get the code and app from Google Code, RegExGeleya. Let me know if you like to get involved.
BTW as of now RegExGeleya doesn't have too many features. Its just a simple tester as of now. It was built for a simple personal purpose of quick testing. But now that it is open to the world, will add one by one as asked. You can request your favorite feature on Google code.
PS: Geleya means friend or buddy in Kannada.