HowTo: Set a custom firewall (iptables) and Tips

After getting some problems with firestarter i decided to get knowledge about iptables and how to set my own firewall script and want to share this experience for users who want to set a custom firewall up quickly.
The purpose of this guide is to provide a basic knowledge about iptables and then help to create a firewall script.
The final step will be to make the script running on each boot.

This guide will not talk about NAT things.