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Control:
when you are using a Linux box to connect your internal network to another network (say, the Internet) you have an opportunity to allow certain types of traffic, and disallow others. For example, the header of a packet contains the destination address of the packet, so you can prevent packets going to a certain part of the outside network. As another example, I use Netscape to access the Dilbert archives. There are advertisements from doubleclick.net on the page, and Netscape wastes my time by cheerfully downloading them. Telling the packet filter not to allow any packets to or from the addresses owned by doubleclick.net solves that problem (there are better ways of doing this though: see Junkbuster).

Security:
when your Linux box is the only thing between the chaos of the Internet and your nice, orderly network, it's nice to know you can restrict what comes tromping in your door. For example, you might allow anything to go out from your network, but you might be worried about the well-known `Ping of Death' coming in from malicious outsiders. As another example, you might not want outsiders telnetting to your Linux box, even though all your accounts have passwords. Maybe you want (like most people) to be an observer on the Internet, and not a server (willing or otherwise). Simply don't let anyone connect in, by having the packet filter reject incoming packets used to set up connections.

Watchfulness:
sometimes a badly configured machine on the local network will decide to spew packets to the outside world. It's nice to tell the packet filter to let you know if anything abnormal occurs; maybe you can do something about it, or maybe you're just curious by nature.
Linux 2.4 Packet Filtering HOWTO

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