Mac OS X Lion: The built-in firewall utility in OS X is pretty powerful, but it doesn't offer a lot of configuration options if you want to tweak the settings. IceFloor is an app that allows you to customize the default firewall in a wide variety of ways.
The nice thing about IceFloor is that it doesn't do its own work. It simply taps into the default settings of Lion's firewall and allows you to customize it however you like. It's essentially a user interface for a running a bunch of commands through Terminal. The main settings pannel allows you to toggle access for simple tasks like screen sharing or iTunes sharing. The advanced options let you create white lists, black lists, and even add custom TCP ports and advanced filtering. If you like the idea of Lion's firewall but need more options, IceFloor is a great tool. It's a free download from the developer's site.