Yup. There are many good ones, but my two favourites are
Guarddog and
Firestarter. Both are easy to set up and use. One quick note, take 15 or 20 minutes and READ the set up information. Especially with Guarddog.
Also as suggested, you could write your own iptables. The above are really only "front-ends" to write your scripts for you. I think you can find a bunch of very good suggestions for scripts in the security forums.