One of my favorite behind-the-scenes programs for Mac OS X is a network filter called Little Snitch. It allows you to limit any outbound network connection that your Mac makes, and permit or deny it based on the server address, port, or both. For example, if a new program tries to connect to the internet send data out to a server, Little Snitch pops up and asks you what you want to do. At that point, you can allow or deny the connection once, forever, or until the application quits.
It has recently been updated to work with Mac OS X 10.4, and the upgrade is free. It sells for $24.94, but I find it quite valuable, and it gives me peace of mind that no programs are sending out anything I don’t want them to.