Little Snitch came out with an update today. This little handy app blows the whistle on any outgoing traffic from your Mac to the Internet. Here's how it works: "Contrary to incoming connections (which usually go to a fixed port), outgoing connections come from random port numbers. This makes it very hard to filter them in an ordinary firewall. This is where Little Snitch fills the gap: It allows you to filter connections based on the application which attempts the connection. And to make it even more handy, Little Snitch can build the rule set interactively: It pops up a dialog when an application tries to connect and asks you what to do." You can check it out in demo mode and if you like it, it will run you $24.95.
However, if you're not fond of windows popping up warning you of connections all the time, and you'd rather simply monitor the activities on your network, you might want to check out Net Monitor for OS X, which runs $8 per single user license.
Of course, if you don't like spending money and you are simply looking to run a ping, a traceroute, or some other basic networking bit, there's always the Network Utility, located in /Applications/Utilities/) that comes with OS X. Check it out.