cyberdogtech.com has made a detailed tutorial of how to setup a firewall with Debian – it isn't quite finished yet, though.
The content for the tutorial is listed here.
A quick word from the introduction:
Why Debian? Ultimately it comes down to personal preference. Most any Linux distribution will work. I've built firewall systems with several Linux distros now, and I've chosen Debian as my favorite for a few reasons:
Minimal builds are fairly minimal. The “minimal” build on some distros is alot larger than on others. It all has to do with how many packages are tied to the core OS. In this case, smaller is better.
Huge package selection. Debian has one of the largest selections of pre-built packages available with the OS. Provides lots of versatility with minimal effort.
Supports customization well. While all distros are customizable, some are inherently more or less flexible than others. Debian generally shows very little resistance when you decide to go off the beaten path.
Excellent support. Debian has a huge community. Security updates are released very quickly, and there's always somebody out there to ask for help.