A friend of mine uses E-smith for his firewall.
Says it's easy to use and hassle free. I've never used it myself so I can't guarantee its merits.
I tried googling for it, but it's very elusive. I think this is the site:
http://www.e-smith.org/
Pro: boot the machine from cd-rom, press a few keys and an hour later it's all set up.
Con: it will wipe out the harddrive in the process (so use on a new/spare machine)
p.s. this is all hear-say. But it sounds promising.