What I suggest is also suggested on Waterroof's website, but in case someone might miss it there: Noobproof provides a very simple ipfw GUI that provides a list of common services for which you can set allow/deny. It also lets you add stuff. I'm comfortable with ipfw and the old firewall, and I still chose Noobproof for a quick and easy tool.

One other note: if you're behind your own router, you can probably choose Allow All in the Leopard firewall. On the road you can go for the Allow selected or whatever the 3rd option is called. It's annoying that 3rd option, asking you for permission each time you launch something.

But then again, I've sat and watched the logs on my server as someone from Russia knocked on my door #22 all morning. So it never hurts to be safe.