Another nice firewall is Firestarter. I'm currently using 0.9.1 (in unstable). It has to be the easiest firewall available to linux, but it's still powerfull. It also lets you easily set up internet connection sharing if you have two nics.

The only downside is that it is a GUI only program. That makes it fine in the case of the laptop I'm using right now, but I'd like to explore some CLI firewalls. Shorewall looks interteresting. Maybe I'll give that a try sometime.