Data Loss Protection (DLP) for retail consumers.
DLP (see http://whatis.techtarget.com/definition/data-loss-prevention... for a definition) goes beyond what Little Snitch does and does packet inspection to ensure that credit card numbers (for example) are never sent out from your network / box. Ideally, you can add regular expressions to define other PII that shouldn't be allowed to be sent out (your name, address, etc;).
DLP products exist for corporate use, but I don't know of any lightweight + inexpensive one for personal use.
WireShark, Fiddler or Charles can incorporate this functionality, if I am not wrong. Not sure how one would MITM SSL with WireShark, though.