Leopard Firewall

I've been reading about the Apple Firewall. It seems to me that it would be a good idea to turn it on and set it to option 3 where I can determine on an application by application basis what is allowed to have access to my computer. I'm looking for suggestions about how to implement this. How do some of you use the firewall and what kind of settings do you use? Is there a third party product that is better?
Thanks!
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