There are several firewall applications for Linux, but what you may not realize is that, at the heart of all these programs is a single all-mighty application that is built right into the Linux Kernel: iptables. This is the Linux firewall. No matter which program you use to configure your firewall under Linux, it ultimately all comes down to iptables. All that these other programs do is configure it.
So, here comes the question: if those programs simply configure iptables, why not simply configure it directly yourself? Doing so is easier than you might think!