Personally I'm using gufw for linux, and it works very well. However, it's important to remember that gufw is just a graphical frontend for ufw, and ufw, in turn, is just a friendlier system for manipulating IPTABLES (which is again a system for manipulating netfilter directly in the running kernel). Gufw is perhaps over simplified, which is why I find it not really that great for anything else than providing an overview of your rules and turning the firewall on an off.