I’m a long time fan of Little Snitch, which is a nifty application from Objective Development that lets you monitor and restrict which applications and processes can access the internet. This gives maximum protection from spyware and other malicious software which “phones home” for any reason.
On the Mac, Little Snitch has been without competition for quite a while. But it looks like things are heating up.
GlowWorm FW Lite is a new freeware utility which does much the same thing. Like Little Snitch, you can create fairly complex rules (such as allow an application access to only certain destination hosts, or allow a program access over a single port to any host or various other combinations). I haven’t tested it in detail, but it appears to work quite well, and the price is hard to beat.
As for whether you need this, well, that depends on how much you care about knowing which programs contact which servers, and also how diligent you are about security. For me, I find the peace of mind this kind of utility provides is well worth it. Even innocuous calls to home base are sometimes inadequately disclosed, and this keeps me aware of them.