Ionizer--if your PC is not in the DMZ and ShieldsUp says you're all-stealth, then you're good, but if you are in the DMZ, you're in a bad spot. Someone can easily dump Sub7 or some similar remote control program on your PC and use it to launch DDoS attacks. When an admin checks his log to see who is slagging his system, he finds YOUR IP...that's bad. When you were on dialup this wasn't as bad b/c you don't stay on long, your connection is too slow to send all that many packets, and your IP can change often.
If you are on a broadband connection, you're good meat b/c you have high bandwidth to launch ping/syn floods, AND even though you're DHCP, most users keep their connection live at all times and thus the IP doesn't change often.
The reason you can play (but not host) games without punching a hole is b/c the firewall drops ALL incoming traffic and allows ALL outbound traffic. However, if an incoming packet has a valid ACK header, meaning the stack believes that the packet is in response to one that it sent out, it will accept it. That's why AIM and UT and all work without any holes. Also, you might still want to consider using ZoneAlarm to restrict outbound packets from trojans, etc...it's an added layer of security if you're paranoid/careful enough...
Ender510--Alls you got to do is point each port to the appropriate IP of the linux box and the Firewall should handle it appropriately.