On jailbroken devices, you CAN capture network traffic, directly on the device AND in PCAP format, by installing an application called "Pirni" from the Cydia store. It's a command-line application, so a terminal application (i.e. Prompt) is required.
For information on usage, i suggest entering "Pirni" at the command-line, followed by an <enter>.
After the capture, you can transfer the PCAP file to any computer (using an SSH client), running wireshark, to analyze the data. Alternatively, you can upload it directly from your device, to cloudshark.org, BUT... in order to do this, you need to have the "safari upload enabler" installed. You can find it in the Cydia store.
As of iOS 5 one can also use a 'Remote Virtual Interface' for packet tracing.
http://developer.apple.com/library/mac/#qa/qa1176/_index.html