Oh man, I am racking my brain trying to think of the tool I used to have installed on my PC at my last job. It was built by somebody who posted on HN, lightsomething or something? It would warn you about new programs connecting to the network and do other neat stuff. Not quite the same as little snitch, but similar and very pleasant to use. I'll update if I think of it (or maybe somebody else can name it.)

[edit] Glasswire! https://www.glasswire.com/ It's super slick. Apparently the paid version has an "ask to connect" feature.