Little Snitch (https://www.obdev.at/products/littlesnitch/index.html) is excellent.
My solution for that is to deny anything I don't recognize, and create rules for things I see more than twice, but if you're conditioned to click "OK" on everything you see, Little Snitch isn't going to to much for you...
[1] https://www.blackhat.com/docs/us-15/materials/us-15-Wardle-W... [PDF Warning]
If you really want to monitor what's going in&out of your computer you'll need to use wireshark from other computer in your network... =)