Is there a firewall for OSX Lion, that allows controlling of outgoing connections? The built in firewall handles only incoming connections, apparently.
What you are referring to as "the built-in" firewall is actually the built-in Application Firewall.
There two other built-in firewalls in OS X Lion, pf and ipfw (the latter is being replaced by pf, but still exist in Mountain Lion). These can handle both incoming and outgoing connections and are typically controlled through command line scripts and settings. However, there are third party GUIs for these firewalls, e.g. IceFloor (for pf); WaterRoof and NoobProof (for ipfw). All these GUIs are free.
There is also third party software that can work as firewall, but doesn't use the built-in OS X firewalls. Examples are Litte Snitch and Hands Off (both paid). These can handle both incoming and outgoing connections.
You should be aware that there is some learning curve for these pieces of software, as their settings are not as simplified as the built-in Application Firewall. Little Snitch or Hands Off could be easier to use compared to pf or ipfw or their GUIs.