dbaddour
iptraf
dansguardian
p2p blocking
sarg
and others
If you set these up correctly (meaning appropriately) you can block most/all stuff.
Please read the Howtos & Contribs wiki articles for other possibilities & for more info on these.
There have been many good tips on their usage published in the forums over the years, so search the forums on each contrib name as well, for specific setup "tricks & configuration" etc.
You can also add ANY domain name to your server (that is acting as the gateway), eg facebook.com or ebay.com & so on, in the server manager Domains panel, configure the domain to Resolve locally rather than Internet DNS servers, and then point that domain at your own website residing on sme server eg in an ibay or the Primary ibay.
That way any requests for that site are redirected to your locally hosted website, thus blocking access.
This is useful for blocking https:// requests that smart users try to use to get around other forms of blocking (that only block http:// requests).