Coworker let me know about a program called Fiddler. It monitors all HTTP traffic on your machine. It's pretty neat to see all the little programs that phone home. Also good for debugging webservice calls!
http://www.fiddlertool.com/fiddler/
Fiddler
Moderator: Dictators in Training
Re: Fiddler
I've used zone alarm for years to keep stuff from phoning home