Little Snitch is a very well regarded security app for OS X that alerts the user to outgoing connections, among other things. This app is rarely on sale (generally once a year) and the developers are currently having a 50% off sale to celebrate the 10th anniversary of the app. The price depends on the licencing option, but I just got the single user licence version for $AU16.70.
Little Snitch sees what happens under the hood.
A firewall protects your computer against unwanted guests from the Internet. But who protects your private data from being sent out? Little Snitch does!
As soon as you're connected to the Internet, applications can potentially send whatever information they want to wherever they want.
Sometimes they do this for good reason, on your explicit request. But often they don't. Little Snitch allows you to intercept these unwanted connection attempts, and lets you decide how to proceed.
Little Snitch informs you whenever a program attempts to establish an Internet connection. You can then choose to allow or deny this connection, or define a rule how to handle similar, future connection attempts. This reliably prevents private data from being sent out without your knowledge. Little Snitch runs inconspicuously in the background and it can also detect network related activity of viruses, trojans and other malware.
Great app, also is very good at showing you what is using your network traffic (on your machine).