WaterRoof - Uses Mac OS X built-in IPFW firewall extensions, no pain

NoobProof - A gentler, simpler IPFW or PF firewall configuration tool

DoorStop X - Blocks and logs access attempts to your Mac

Firewalls act as a gatekeeper between your computer and the Internet. Newer versions of OS X actually have two different types of firewalls built in, but they’re disabled by default. Three freeware apps, WaterRoof, NoobProof and IceFloor provide a friendlier graphic front end to make configuration easier. See this excellent explanation at Hanynet.com.

Unfortunately, on the Mac platform there are currently no free firewalls that offer protection and control comparable to that available to Windows users. The choices are to enable the OS X firewalls, or purchase a full firewall solution such as Little Snitch or Doorstop.

Mac Firewalls

LittleSnitch - Fully configure inbound & outbound protection

Free Firewall Configuration Tools
Paid Firewalls

IceFloor - Quickly & easily apply PF configurations using presets