for the truly paranoid, download a small application called little snitch.
It monitors all your outgoing network connections. It allows you to permit or dispermit traffic from coming out of your machine. It's like a firewall add-on.
The free version is limited to 3 hours at a time so you get a good idea of how the software works.
http://www.obdev.at/products/littlesnitch/index.html
pz