I've written a few HOWTOs over at SplitInfinity on a few "absolute musts" to securing your server....
nothing there on firewalls, since everyone has their own flavour (you are running a firewall aren't you?)
http://forums.splitinfinity.com/forumdisplay.php?f=7
Even if your server is managed, have a looksie at the HowTo's and if there something in them that isn't implemented, ask your managed provider to get it sorted.
This list is non-exhaustive and I'll be adding to the HowTo's, esp for security as and when, so check there regularly.
Any questions, post in the forum, or hit me up on ICQ.
I also do one-off hardening configs for $100 -if interested hit me up (this includes much more extensive hardening than those HowTo's, but over time, I'll be posting pretty much all the HowTo's so you can do it yourself if you're savvy enough!)