My entry into this category: http://regex.powertoy.org/ It makes use of a hidden Java applet -- so it supports the somewhat larger Java regex syntax, doesn't send your data anywhere else for matching, and can hook into the string-probing to animate the process. (Click the 'animate?' link to show the animation step/speed controls.) For example, you can watch the regex that tests whether a number is prime (by failing)…
I don't think its a deal breaker but if its a hidden java applet then why not have the regexes processed on the server as a servlet and sandbox them with a timeout?
For instant display or the stepwise animation, the lag of a server roundtrip could be a problem; for some users, posting data to a remote service might introduce privacy concerns. (The regex-powertoy can be run completely locally.)