An excellent addition to the standard Mac firewall, Little Snitch monitors applications for outgoing traffic on any network connection and allows the user to set rules that deny or allow (once, until quit or forever) access. The Mac firewall only controls incoming connections, Little Snitch monitors activity and with v2 has a very slick interface which shows you what is attempting to contact the outside world.
No more phoning home unless you say so for only about £13 ($24). Recommended for the more paranoid user.
(The title of this post takes you to the above link for Little Snitch)