A highly Informative Linux Security Guide *Update*

[new user]

A really good read for linux users.
http://www.osnews.com/story/23463/Linux_...tical_Tips

Update:
For People using Distributions other then Fedora/Ubuntu/Suse. You may not have Firewall software by default. Ubuntu's firewall called ufw is in most repos, like Arch and Gentoo. Ther eis also a GUI. It may be called gufw or ufw-frontend.
Ubuntu comes with the firewall without a GUI and turned off, this is because by default Ubuntu has no Open ports. I highly recommend setting up ufw to deny all incoming connections and allow all outgoing. Also if you are hosting any kind of server (be it webserver, ftp, ssh, minecraft) you may need to add an exception for the port. Same goes if you have any port forwarding.
Side note: UFW is really a front-end for IPTABLES, which is way more complicated. Hence the name, UFW: Uncomplicated FireWall
Side note 2: You can run ufw without a gui from a terminal with the command ufw.

[jamescv7]

I use one of the Linux Distro since only my vacation 2011, its worthwhile to read it and understand.

[new user]

Update:
For People using Distributions other then Fedora/Ubuntu/Suse. You may not have Firewall software by default. Ubuntu's firewall called ufw is in most repos, like Arch and Gentoo. Ther eis also a GUI. It may be called gufw or ufw-frontend.
Ubuntu comes with the firewall without a GUI and turned off, this is because by default Ubuntu has no Open ports. I highly recommend setting up ufw to deny all incoming connections and allow all outgoing. Also if you are hosting any kind of server (be it webserver, ftp, ssh, minecraft) you may need to add an exception for the port. Same goes if you have any port forwarding.
Side note: UFW is really a front-end for IPTABLES, which is way more complicated. Hence the name, UFW: Uncomplicated FireWall
Side note 2: You can run ufw without a gui from a terminal with the command ufw.

[TKFlight]

This is good read for new Linux users. The GUI firewall is easy to use, and I highly recommend it. As new_user said just make sure you block incoming connections and allow outgoing.

[HeffeD]

I believe most desktop and server distros come with IPtables in some form or another.

But like you mention, the firewall isn't always on or very user friendly which is where the front-ends such as UFW come in.

PCLinux comes bundled with Shorewall to configure your firewall.

Kubuntu has UFW in their repositories of course.

CentOS allows you to enable the firewall during setup, then you can configure it with the Security Level Configuration Tool.

OpenSuSE has the yast2 firewall in their repositories. I can't remember if this comes bundled with the distro or I downloaded it later.

Mint has UFW in their repositories.

Mandriva has the Invictus firewall. Like OpenSuSE, I can't remember if this was something I downloaded later, or if it is bundled with the distro.

Fedora has a system configuration GUI allowing you to adjust the firewall directly from your system configuration.

Debian gives you a lot of options. You can install Firestarter, UFW, or Shorewall from their repositories. (I'm using Firestarter because I hadn't used it before...) If you download the KDE interface, there are a few other options available to you, such as GuardDog and kmyfirewall.

[new user]

Don't use firestarter. It is no longer maintained and is dead.

[HeffeD]

I wasn't aware of that. Thanks.

[jamescv7]

PuppyLinux have a firewall disabled when its a first time to bootup and when you click it, a screen to prompt a configuration utility to install as automatic or default.