I mentioned a regular expression coach for Windows or Linux the other day. It's written in Common Lisp and distributed as binary only, so Mac OS X users need another option.
Kodos is written in Python, and appears to have a nice GUI similar to the other tool. It requires PyQT, which has a Mac OS X version. PyQT requires SIP; the Mac OS X version of PyQT requires SIP 4. SIP 4 requires Python 2.3 or later, which comes with Mac OS X 10.3, but not 10.2, so if you're without, you'd need to upgrade python. You have to build SIP with Qt support, obviously, which means you need to install Qt libraries, such as via Fink's qt3 package. And tmake, you need tmake. And something else to make tmake work, but this is where I gave up, sorry. If you can finish this story, let me know, PyQt is something I might want to use.
There was some famous early work (with a paper) on a Perl regex debugger. ReBug appears to be one realization of that effort. ReBug requires Perl/Tk. Knowing that Perl/Tk is something I want to use, I installed it via CPAN, and most of its tests passed (with X11 running) (and I've never seen Tk pass all of its tests, even on other platforms, so I forced the install). Test Tk apps will run, but I can't get ReBug to connect to my display. My patience spent on PyQt, I gave up early.
rred is a simple regex tester. Best of all, it's just a Perl script, so it doesn't require any compiling or installing of dependent GUI libraries.