Designing a Linux firewall is not for the faint at heart. Unless you know Linux, want to spend the next few weekends of your summer learning, or have a good friend who knows it, I wouldn't suggest messing with it. Not exactly what you call plug and play.
But, if you do, nearly 100% of all Linux software and operating systems are completely free. Linux Mandrake comes with an excellent built-in firewall, and there are plenty of add-ons.....