I don't continuosly monitor "home phoning". Before I install any software I search the web for reviews, user opinions, articles and so forth to get an idea of the software quality and the vendor reputation. In case of freeware I am especially cautious - I might even browse the EULA :-) Then I decide whether I want to accept the risk of running/installing. That's my sense of security. Í take responsibilty of what is running on my machine. I don't see any idea in allowing a program to run and then afterwards try to control what it's doing other than by configuring it.
I do, however, regularly use "Port Explorer" from DiamondCS to monitor my overall network activity. A piece of software I would recommend to anyone curious about what networking stuff is going on. If I am really suspicious about something I will packet sniff my wire using "ethereal". But that really happens very seldom - and it is not something I would ever recommend to a novice.
Furthermore, in many cases with PFW's, You are only left with the option of allowing or denying the traffic. How would You prevent a piece of software that is supposed to use the net from phoning home? And if it does'nt ask You, how would You know, without sniffing, if it was phoning home sensitive information or it was just checking for product updates? And, as others in here have also pointed out, in many cases phoning home or not is something that the software allows You to configure.
I would also like to add that privacy is to some extent a weird topic. Many users are happily revealing all kinds of more or less sensitive information in unscrambled form to the internet each and every day. They also leave traces behind at web sites they visit, forums they post to and mails they write. But when they hear about a software product phoning home, all hell is loose. And don't get me wrong. I definately don't defend "phoning home" for no obvious reasons. But on the other hand I don't support privacy hysteria either.
/B. Nice