Jailbroken iPhones can get FirewallIP[1] which offers Little Snitch functionality where domains and IP addresses can be allowed or denied for each app, triggered by the App's request to access a resource.

Android briefly had WhisperMonitor[2] but that was killed when WhisperSystems was puchased by Twitter.

[1] http://cydia.saurik.com/package/com.yllier.firewall7/ [2] http://www.androidauthority.com/worlds-first-true-firewall-f...