Well I have a radical solution for you
Go to Settings > Accounts & sync and disable background data..However this comes with a sacrifice: Market will not work but you can enable when you want to use Market and disable it again..
But you will have full control on which app to use your data connection because you will have to do it manually, e.g. in Gmail you will have to refresh it by yourself to check new emails..
This has ups and downs, it's up to you