You can now add comments and coloured highlights to items in the site map and proxy history:

You can highlight individual items using a drop-down menu on the left-most table column:

And you can comment individual items in-place by double-clicking and editing the table cell:

Alternatively, if you want to annotate several items at once, you select the relevant items and use the context menu to add comments or apply highlights:

When you have annotated interesting requests, you can use column sorting and display filters to quickly find these items later.