tcpdump is a common packet analyzer that runs under the command line. It allows the user to intercept and display TCP/IP and other packets being transmitted or received over a network to which the computer is attached.
PCAPdroid is an android app to capture the phone traffic and analyze it remotely (e.g. via Wireshark). The traffic can be easily downloaded from a remote device thanks to the integrated HTTP server, or streamed to a remote UDP receiver.