Loopback Packet Capture: Npcap is able to sniff loopback packets (transmissions between services on the same machine) by using the Windows Filtering Platform (WFP). After installation, Npcap will create an adapter named Npcap Loopback Adapter for you. If you are a Wireshark user, choose this adapter to capture, you will see all loopback traffic the same way as other non-loopback adapters
Rawcap can do this. It's increasingly showing its age, but I still use it fairly frequently. It generates PCAP files, it's 23KB, and its only dependency is .NET Framework 2.0 (which, admittedly, is becoming more of a problem than a blessing): http://www.netresec.com/?page=RawCap
My personal pain point is lack of localhost tracing under Windows.