What options are available to me if i want to take full control of network activity on my NIC?

To explain in more detail, I am imagining a GUI (or system tray icon), that flashes every time, any time, a new application tries to make a network connection and it will prompt me to permit it this time or every time from there on.

Waaaay back in the day I remember having a firewall on Windows called Zone Alarm that did this and I have been craving that kind of simple awareness every since.

Does such a thing exist in linux land? Tips in the right direction greatly appreciated.

Thanks LQ!