The basic task of the MacOSX Firewall is to monitor incoming network connections. There are also several alternatives: TCPBlock and glowworm for the firewall and Rubbernet (now defunct) for the monitoring.ΔΆ016 Update: MacOS now has the per-application monitoring built into Activity Monitor.
That being said, I don't think Little Snitch is "must have" software these features are fairly esoteric. The Little Snitch shows network usage for each application, albeit in a limited way. It's easy on MacOS to see how much bandwidth you're using but much harder to see which program is using that bandwidth.