NetLimiter (free) and NetBalancer (paid, free for 5 processes) have been the go-to solutions for Windows for a little while.
IceFloor (http://www.hanynet.com/icefloor/index.html) is the OSX (10.7+) analog.
> monitor applications connections , block outbound connections > to unwanted services (block chat, p2p...)
also lists http://bandwidthcontroller.com/trafficShaperXp.html