Forgot about my thought...or do I have one.
Bastille and shorewall is script based firewall, I'm not a script kind of person. I don't use them because I can't see what they are up to, and I'm so stupid that I don't know what I'm doing.

Guarddog, gui firewall, that's what I like. I can see what the application is doing...and what I'm doing. But like you said, I also have problem with this application. I can't share connection.

Firestarter, like guarddog but simple and easier. I also don't have problem sharing connection ( built in nat ) and easier to set rules.