This is a basic firewall which works for most Linux distro's. It's based on the Setting up a simple Debian gateway article from debian-administration.org and assumes eth0 to be the external WAN interface and eth1 the internal LAN interface. On Debian based machines, save this script as /etc/network/if-up.d/00-firewall and it will execute whenever the networking starts up.
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#!/bin/sh
# delete all existing rules.
iptables -F
iptables -t nat -F
iptables -t mangle -F
iptables -X
# Always accept loopback traffic
iptables -A INPUT -i lo -j ACCEPT
# Allow established connections, and those not coming from the outside
iptables -A INPUT -m state --state ESTABLISHED,RELATED -j ACCEPT
iptables -A INPUT -m state --state NEW -i ! eth0 -j ACCEPT
iptables -A FORWARD -i eth0 -o eth1 -m state --state ESTABLISHED,RELATED -j ACCEPT
# Allow outgoing connections from the LAN side.
iptables -A FORWARD -i eth1 -o eth0 -j ACCEPT
# Masquerade.
iptables -t nat -A POSTROUTING -o eth0 -j MASQUERADE
# Don't forward from the outside to the inside.
iptables -A FORWARD -i eth0 -o eth0 -j REJECT
# Enable routing.
echo 1 > /proc/sys/net/ipv4/ip_forward
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See also