I just came upon this ubuntuforum thread about setting up a proper firewall. It explains the howto but most importantly the whydo. I was under the impression that if you set up iptables with "default deny" you’re ok. wrong.
Outgoing rules should be "default deny" too. After making this rule of course I should make exceptions because I won’t be able to connect to other machines. What are these exceptions?
2.http and https
4.email (in my case email over SSL)
This set up adds to security in my desktop. If you have additional applications that cannot make connections. I suggest you look at /etc/services file, the List of Ports above and the ubuntuforum thread OP will likely answer your query.