If your router is a NAT router, you already have excellent inbound protection from the Internet, as you're behind it and probes just reach it and not you. As for outbound connections, I don't think it's really necessary for Linux IMHO as there is very little malware.
If it's not a NAT router, then you can get a Linux firewall, Firestarter for example. Or there are more complicated ways, but that's easiest I think...
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