If you go into system preferences - sharing - firewall there is a list of ports and what they are used by. If you click New.. you can add more. If the firewall is going and you have made a list of apps that can access the internet then its kind of a litte bit the same as the zonealarm thing. Its not the same, but I dont know of any applications that do that for mac. Then again I really havent looked
There are similar, in google with Mac firewall as the search argument you'll find such as Brickhouse - sunshield netbarrier... but the native Mac firewall is easily enough! It's based on the latest BSD and you really can't go wrong with that If you feel you need to, you can even log the firewall - but that does use system resource.