Droidwall is a nice graphical front-end for the powerful and proven iptables firewall that has been an integral part of the Linux kernel for many years. It gives fine-grained control of which applications and services can have access to your networks, and controls what comes into your Droid over the network.
Droidwall requires a rooted Android. I think it is ridiculous to not have root access to your own computers, but that's the world we live in. See The 5 best reasons to root your Android phone to learn how.