One of the easiest (by far) to get setup is Mandriva as it comes with shorewall (an iptables helper). It makes setting up iptables a breeze. Use that with webmin (a really full featured & mature web based server admin tool) and 90% of your work is done from the start.
Mandriva installs both when you install the OS in most cases. Then just go to
http://localhost:10000 in a web browser on the server to be your firewall.
Once in look at the Networking tab or menu (depending on the theme at the time). You will see the Shoreline (yes shoreline is the same as shorewall) option. Just select Shoreline and get familiar with that tool. There are many docs on the Net about using this tool as well.
Cheers