its in portage, it should be the same for the most part as debian/ubuntu. no gufw, but there is also nufw.
i was musing the idea of making a firewall wiki page, but never got around to it. another problem is that im not very knowledgeable about the subject so they would be little more than stubs.
I've been using UFW for a couple of years. It's now easy to install and configure. Originally it was a bit of a black art getting the necessary kernel options (bits of net filtering) right, but the latest ebuilds seem to check the right stuff. Make a point of running the check tool mentioned in the emerge output.
If you're a KDE user, there's kcm_ufw, which puts a firewall configuration item into the KDE System Settings menu, which makes it all look pretty integrated.