REQUIRES ROOT ACCESS - Tested on a HTC G1 with JF and CyanogenMod ROMs
Droid Wall - Android Firewall is a front-end application for the powerful iptables Linux firewall. It allows you to restrict which applications are permitted to access your data networks (2G/3G and/or Wi-Fi).
This is the perfect solution if you don't have an unlimited data plan, or just wants to see your battery lasting longer.
After installing, press menu and click Help for an explanation on how to use it.
Be sure to check the change log and the screen shots.