The good news is I know of a few products that handle the kind of testing you are describing incredibly well.

The bad news is all the ones *I* know of are generally pretty spendy.

Some of the best names I've heard are:

Mercury Interactive's Topaz

BMC's Patrol for Internet Services

Freshwater's SiteScope

As far as rolling your own goes, I'd have to say I'd LOVE to see a perl based Open Sourced transaction based web monitoring tool, but *I* certainly am not going to attempt to write one.