For security reasons, what should I block with the firewall

Little Snitch offers three features that aren't available in MacOS' built-in ipfw firewall. (It does this by loading a custom kernel module.)

1. Little Snitch allows you to block outgoing connections; the MacOS firewall only blocks incoming connections. Handy if you're running some untrusted program and aren't sure what it's going to do, or if you want to disable a program for updating itself, or if you want to prevent access to a specific resource. Also, I suspect many people use Little Snitch to block pirated software from checking their license.
2. Little Snitch lets you configure the firewall per application, not just address or port. Ie: you can configure it so one web browser can access a web site but not another.
3. Little Snitch also monitors network traffic on a per-application basis. It's easy on MacOS to see how much bandwidth you're using but much harder to see which program is using that bandwidth. The Little Snitch shows network usage for each application, albeit in a limited way.

That being said, I don't think Little Snitch is "must have" software; these features are fairly esoteric. There are also several alternatives: TCPBlock and glowworm for the firewall and Rubbernet (now defunct) for the monitoring.

2016 Update: MacOS now has the per-application monitoring built into Activity Monitor.

I fully understand your needs, but do not know specific answer.

Since you are a programer,you will be able to figure it out using the

Configuring IPFW firewalls on OS X

if you need special features like:

• Firewall filters that include qualifiers on host or network addresses

• Firewall filters that operate on other than TCP or UDP protocols

• Firewall filters that include the whole range of ipfw qualifiers,
  such as IP options, ICMP types or TCP flags

• Per-filter logging configuration, including the ability to log
  allowed connections and the option to not log certain types of denied connections

• NAT port forwarding or other custom NAT configuration

• Different filter configurations on different network interfaces.

• A persistant, searchable firewall log entry database with graphical log viewer

• Scriptable control of your firewall, such as via cron or other shell automation

• Access and ability to easily edit the raw firewall configuration text, including an integrated ipfw filter syntaxchecker.

...then you should consider using Flying Buttress.

The Author has stopped supporting it, but can be reached here:

Web site http://personalpages.tds.net/~brian_hill

Support web site http://personalpages.tds.net/~brian_hill

Support e-mail brianhill@mac.com

One more try: with something called Little Snitch

Silent Mode – Decide Later

There are times where you don’t want to get interrupted by any network related notifications. With Silent Mode you can quickly choose to silence all connection warnings for a while. You can then later review the Silent Mode Log to define permanent rules for connection attempts that occurred during that time.