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Last I heard, ZoneAlarm itself was phoning home. Granted, this was in 2006. Didn't trust it since though.

As I recall (and just for completeness), Little Snitch phones home too - unless you use it to block itself.

I definitely appreciated it when I was using OS X though.

It was doing an update check apparently, which a lot of software does. I bet anything in the same class as ZoneAlarm phones home.