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Little Snitch is a host-based firewall for OS X that allows granular control of both in and outbound network connections. It has an intuitive and easy to use interface that pops up notifications when any application attempts to connect out to the Internet. Setting rules to temporarily or permanently allow or deny connections can be done with a single click. Little Snitch is a closed-source application that costs $29.95 but the demo version can be downloaded and ran for free. One completely free firewall alternative to Little Snitch called GlowWorm (version 1.5.2) is not recommended because it causes OS X 10.5.4 to crash upon rebooting and requires loading in to single user mode to disable the application.

http://www.obdev.at/products/littlesnitch/index.html

This free for personal use firewall for Microsoft Windows ranks at the very top on leak-prevention tests (see here). It is much more powerful than the firewall that is included with Windows and can prevent more intrusions than other personal firewall applications.

Download at:
http://www.personalfirewall.comodo.com/