If you're jailbroken (which you probably should consider if privacy is a concern), FirewallIP is the reason I still haven't switched to Android: http://yllier.webs.com/firewall.html
Can you expand on why one should jailbreak? Any other jailbroken app suggestions? I was under the impression that jailbreaking also opened you up to be hacked and made the phone less secure.
That's unfortunately the problem. We want to make secure software easier to use but we can't get past step 1 if people can't just buy it from the app store.