I found what I was looking for, thanks for the replies guys! Dngrsone its not a firewall I'm looking for, its a proxy server, basically I will have a Linux box, preferably Ubuntu, running Prixoxy as a proxy server to anonymise web traffic going out and then i will run UFW and iptables to help protect traffic coming in as well as restricting what sites can be visited etc. Linux ftw!
Thanks alot though guys! Think I'll stick around here a bit and help answer some Q's
whilst I like privoxy, and it is good... you know that this isn't really going to make you anonymous don't you?
the traffic will still come from a public IP assigned to you.