Hey Jamie,
It'd be cool if the Linux firewall had support for the "documented" process of creating iptables firewalls on Ubuntu/Debian, or at least part of it. In short, it's a standard iptables-save based solution (so Webmin knows how to manage the firewall already), but it has to know about pre-up and post-down rules in the /etc/network/interfaces file.
The save file is normally /etc/iptables.up.rules, which can be called by adding a line to the end of the interfaces file like this:
pre-up iptables-restore < /etc/iptables.up.rules
It is documented here:
https://help.ubuntu.com/community/IptablesHowTo
Debian from Sarge onward also uses this method (though older versions had an initscript just like Red Hat and Fedora). This method is more flexible and allows for custom rules for each interface, but is more complicated to setup and automate.
This isn't urgent, as we've lived without firewall support in the installer on the other platforms for ages (but not after tomorrow), but if it's not a huge amount of effort to support, it'd bring us a bit closer to a perfect installation on Debian/Ubuntu.