In the midst of searching for info on using ipfw (Mac OS X's built-in firewall software), I came across sunShield, a freeware PreferencePane that manipulates the firewall. One should know the basics of ipfw rule declarations, etc., before mucking with things, but those who prefer GUIs over Terminal may find this to their liking.
[Editor's note: I have not tried this firewall package...]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020430012747871