Firewall in Linux

Firewall, determines what applications and services, ports, ips are allowed in and out of your machine.

Best one is to use the recommended software. As of 8.10 Ubuntu, they recommend "ufw", which is command based "terminal".

Strong Advice, you don't need a GUI, use the commands "ufw"
See the offical Wiki entry here.

Also don't need a GUI frontend to ufw because it already is a frontend to some else already complicated.

What really governs all the Rules?
Firewall management on Linux/Ubuntu is managed by "iptables" and setting those up are complicated at times. "ufw" and "firestarter" are frontends to "iptables". Use either one or the other.

Example of how complex "iptables" comared to "ufw" is:
ufw: sudo ufw deny from 10.100.0.5
iptables : sudo iptables -A INPUT -s 10.100.0.5 -j REJECT

But if you want a GUI
Think you can install it from "Applications->Add/Remove" and search for "Firestarter", just don't bother with "ufw".

Other Frontends
gufw : Frontend to ufw, even though ufw is a frontend to iptables. Seems silly
lokkit and Guarddog : Frontend to iptables, these I feel seem a bit complicated but it's what ever you feel comfortable with in the end.