One thing that drives me mad is when applications try to phone home with information. Usually, these requests are benign; the app is either looking for the latest update or making a serial number verification request. If it's a rogue app, though, it could be sending back information you'd rather not share.
To find out which apps are phoning home, you can install Little Snitch. It's a US$30 app that alerts you whenever a program tries to establish an outgoing Internet connection. You can choose to block this connection, or let it through on a case-by-case basis. You can also specify a rule to handle this connection attempt in the future, so you don't have to be alerted each time the app phones home again.
Little Snitch gives you fine control over these connection attempts. Besides permanently blocking a connection, you can also choose to stop it for a single session. This session-based blocking is convenient for travelers who are using a cellular connection and want to limit their data consumption.
Little Snitch is an excellent app for tracking your outgoing Internet connection. You'd be surprised by the number of apps that try to phone home and how often they do it. Google Chrome is one of the worst offenders in this group as it tries to connect to the Google mothership several times a day. If you want to try it out yourself, there's a limited time trial of Little Snitch that runs for a 3 hours at a time. The full, unlimited app costs $30 and is available from Objective Development's website.