viaProtect is a free app that will take a look at where your iPhone data is going, and where it is coming from. The app also says it can point you to apps that tend to leak data or are otherwise insecure. The app will look at what is being encrypted from your device, and finally, it will provide a risk profile for your iPhone.
You can register your device with viaForensics, the developer of the app, or use it without registration. If you register, you can have web access to some of your device statistics.
The main screen of the app is called the dashboard. After a minute or so of analysis you'll get a risk score for your phone. I got a minimal at risk rating (thankfully) and I could see that my data was going to the continental U.S. The app also runs some background processes to give reports on SSL certificates, any processes that are running, a DNS resolver, and a report on network connections. The app uses GPS for some of its analysis, so it may impact battery life.