While my MacBook Air has a built-in firewall and protects me from all the Internet-nastiness out there, I am still relive the Windows days of Trojans and Spyware. So to put my mind at ease, I installed Little Snitch:
Little Snitch informs you whenever a program attempts to establish an outgoing Internet connection. You can then choose to allow or deny this connection, or define a rule how to handle similar, future connection attempts. This reliably prevents private data from being sent out without your knowledge. Little Snitch runs inconspicuously in the background and it can also detect network related activity of viruses, trojans and other malware.