Windows only: If you're looking for a simple solution to secure your connection, free utility MyPorts shows you what open ports are being actively used and which may be unnecessary.
Generally, open ports can be pretty easily associated with a specific program or running process that is connecting to the internet, such as your browser, IM client or mail client. When these programs close, so do the ports. However, if some ports are open and have no purpose at that moment, they can be a security risk. MyPorts helps you check whether there are any unnecessarily open ports that could be used by malicious users.
At startup, the program gives you a list of all open ports on your computer, along with detailed information about each port, such as it's state, local and remote IP address, local and remote port number and the application currently using it. Most are fairly straightforward — the port will say it is in use by iTunes, Thunderbird or some other running application. Others are less obvious — they may be in use by Windows or some other background service, and if you're having problems (or are just suspicious about your security at that moment), you may want to do some research and find out which of these are actually necessary to have open.
Of course, this program is also useful if you're having trouble with certain programs connecting. If you have an especially slow BitTorrent connection, for example, you can always check what port you're using and look to see if it comes up in MyPorts (if it doesn't, it's probably because it's blocked by your firewall, and needs to be opened in your BitTorrent client).
MyPorts is a free download, Windows only.