If you're interested in seeing what things get sent out by your machine (for example, hidden data sent out as part of a software install or what cookies are getting set while browsing), check out tcpflow. tcpflow is a packet sniffer for unix-based operating systems. It's got more features than tcpdump (which is included with OS X). Marc Liyanage has created a Mac OS X installer package, which is available here:
http://www.entropy.ch/software/macosx/#tcpflow
The home page for tcpflow itself is here:
http://www.circlemud.org/~jelson/software/tcpflow/
Michael
Mac OS X Hints
http://hints.macworld.com/article.php?story=20010810103021605