I have yet to find a really good application to monitor all traffic coming to/leaving from a Mac, sales but this one is close.
With Net Monitor Sidekick you just start the application, choose your network interface, and watch the traffic flow. The program offers a few preferences, but pretty much does as expected out of the box.
Right now, the program is in beta and can be downloaded free. Though there is a warning that the beta will expire on Mar 31, 2009.
You can down the application here.