So I went digging, and it turns out both Symantec and McAfee have a firewall app for Android. Unfortunately, I can't find a retail license for just the Android app. Both companies have this app bundled into a suite of services for business customers, not consumers. Frankly, I don't want to pay business prices for an app.
A friend recommended AndFire, which can be found for free on SlideMe. It seems to have a lot of options including blocking individual apps, phone numbers, SMS, etc. The project is also hosted on Code.Google.com, which does reassure me a little.
I'm going to use AndFire for now, but if you have an Android firewall app you like, please suggest it.