Not sure which layer you're mostly interested - if it's above PHY, then another way is to install a PCIe analyzer software (I like the Teledyne/Lecroy Summit one a lot, but there are different ones). They usually come with sample captures that work without hardware. It allows you to look at data on various levels, typically down to the bit level, and allows you to browse through TLPs.
PCIe is surprisingly sane.
The PHY "doesn't do a lot" from this perspective though - it's a SERDES with clock recovery. Perspective changes a lot of course once you look into the details.