[grahamburger]

Wireshark or even tcpdump will get you most of the way there, I think.

[lucaspiller]

Little Snitch doesn't just show you traffic, but also allows to block requests per domain per application.

[grahamburger]

Then add iptables to that list and I think you're set :-) seriously, all due respect to Little Snitch - I've heard a lot of good things about it and I'm sure it's much easier to use than the raw tools. But I doubt it's doing anything that can't be done with tcpdump/iptables.