I just bought a used iPod touch on ebay for real cheap the other day for kicks (only $62) just to play around with since I've always been such an Android fan since I got my Droid, so I just wanted to see what I might be missing since I had never really used iOS before (so far I don't like it much at all since its UI is just too simple for me and doesn't offer much customization ability).
But, I did stumble across a really good firewall in the Cydia Store today (it's jailbroken), the app's called IP Firewall. It works superb. I don't know if it uses iptables or not (it may, since it is a unix based OS), but after using it, I wish I could figure out how to port it over to Android though. It is that good. It gives you the classic prompt at each outgoing connection attempt and asks you how you want to handle it, and it gives you every possible option to choose from like: 'App1' tries to contact (port 80): m.example-url.com , options are: Allow once, Allow session, Allow all sessions, Always allow, Allow all connections for this app, Deny once, Deny session, Deny all sessions, Always Deny, Deny all connections from this app, Globally allow this URL on OS, and finally, Globally deny this URL on OS.
I might go email that dev who made and ask if he'd be up to porting it over to Android. But for now, I'm going to try Droidwall out and see how it works. It doesn't have as many allow / deny choices, but it might at least work to kill the apps that I know have no business connecting to the www.