This may be obvious to some, but it wasn't for me, so maybe it will help somebody.
I was recently needing to share the Airport connection from my PowerBook with another Mac. I decided to use the Share Internet Connection function within Panther. (Go to Sharing Preference Pane, select Internet, select Connection Source and the interface you want to use, and click Start). This was easy enough to accomplish, but for some reason I did not understand, I could not get the second Mac to connect to the internet. The Mac did get an IP address from the laptop, but it would not connect to the internet.
A while later, I tried disabling Apple's Firewall: that did it. I assumed that, just like with every other service within the sharing pane, Apple would automatically open the port for the sharing internet service. Never assume anything. The last step that needed to be taken (and which is not mentioned anywhere in the documentation I found) was to open port 80 for web sharing. Since Apple only enables that port if Web Sharing is on, you have create a new rule in the Firewall to open Port 80.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20050110175253219