One thing that drives me mad is when applications try to phone home with information. Usually, these requests are benign; the app is either looking for the latest update or making a serial number verification request. If it's a rogue app, though, it could be sending back information you'd rather not share.
To find out which apps are phoning home, you can install Little Snitch. It's a US$30 app that alerts you whenever a program tries to establish an outgoing Internet connection. Yo