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I originally used nothing. Then I used guarddog which was great until I had to do NAT/ICS and wanted to have a single app in which to configure it; also it was getting a bit long in the tooth and I thought it might be abandoned so I went looking. So I tried fwbuilder and efg. Then I tried KMyFirewall as things weren't working and I didn't know where.
Then I came across firestarter and liked the traffic notifications that it gives, but haven't settled with it yet (not installed it fully).
I can only assume that the likes of Ubuntu, FC and Mandriva have their own scripts as I can't really find the "industry" leader in user configurable firewall builders ( I think I must be missing something big here) ... I thought a post might be illuminating. This is also something that gets a lot of questions.
I could have posted in the Security forum, but I'm interested in what other Slackers use. Please feel free to "check" the box of all those in current use and maybe tell us your preference in a post.
I've always done mine by hand - that's the Slackware way, right? ;-)
I wasn't aware of Oskar's tutorial when I was learning iptables, so I learned almost entirely from iptables(8) and Robert Zeigler's book "Linux Firewalls." If you like things in dead-tree format, I can wholeheartedly recommend purchasing that one. On the subject of the tutorial, it's wonderful - definitely worth a read. The box that hosts the tutorial has a few other things on it that cause it to get loaded quite often (this is based on a discussion with Oskar), so I've got it mirrored on my site (it's one of the "official" mirrors): http://iptables.rlworkman.net