Firestarter is a firewall for Linux systems.
Linux isn't that vulnerable to Internet attacks than Windows (look here for a free firewall for Windows), but to have such a firewall has some advantages:
  • View active network connections, including any traffic routed through the firewall.
  • Ability to share the firewall host's Internet connection among all the computers on your local network. This is done through a technique called Network Address Translation, or NAT.
  • Option to whitelist or blacklist traffic.
  • Sets up DHCP for a local network.

On Ubuntu it can be installed right from the Applications menu.