Little Snitch does its job very well. You would be surprised at how many websites actually do try to connect to your computer without you knowing. The main point here, is that these websites are gathering data, even if you don't know what it is, they are still sending and receiving it from your personal computer.
Little Snitch installation is a breeze. You can download it here. Once installed, it does not eat up many resources from your Mac, thus it will not slow down performance. Also, Little Snitch is a very lightweight program, that does not take up much space at all on your hard drive. The application itself simply runs in the background on your Mac. From there, it can be controlled through a drop down menu located on the OS X toolbar. Little Snitch works basically by monitoring all applications on your computer. Whenever any application or internet site tries to communicate with your computer, Little Snitch informs you via a transparent pop-up window. You can than immediately choose to allow the program or deny the program.
You can also allow temporarily or permanently. For example, if software update needs to access the Apple database to retrieve updates, Little Snitch will catch it. You are than presented the option to allow software update this time, or permanently. If you choose this time, Little Snitch will allow software update, but block the next connection attempt and present you with the same options again. If you choose permanently, Little Snitch will always allow software update. This is a very solid feature, as you do not want to consistently block or allow certain applications.
Aside from pop-ups, Little Snitch also uses rules to control what applications can connect to the internet. Rules is composed of a simple list of all applications on your computer, with a red and green button next to them. Red is stop, green is go. So, if you want to block iTunes, simply click the red button next to iTunes, and Little Snitch will block iTunes from connecting.