For outgoing connections, the only jailbreak application that exists is Firewall iP. It behaves similarly to the Mac OS X application Little Snitch.
For incoming connections, you will have to use a regular firewall system such as
Disclaimer: To anyone actually looking to use
ipfw on iOS, you're going to have to patch the kernel to include support for
pf. Documented, nobody has ever done it, but it's not technically impossible. The jailbreak itself patches the kernel upon boot, so this would require the same exploits used during that process. If you have happened to patch
pf into the kernel, then proceed with my original answer below.
http://theworm.altervista.org/cydia/ repository in
Cydia > Manage > Sources > Edit > Add. Then install the
MTerminal app from the BigBoss repository and the
network-cmds package from The Worm repository. Then you can go into the terminal app you just got and run
ipfw. This will let you write to your firewall tables. If you need a tutorial on how to use
ipfw, there's a good one here.