well you shouldn't block all ICMP, otherwise your going to run into problems when playing online games.
I have TPF firewall set up, and i have the following icmp rules:
outgoing- echo reply, destination unreachable, echo request
incoming- echo reply, time exceeded, *echo request
You could remove *echo request from incoming, if you don't want anyone pinging your ip. Also, never have destination unreachable incoming, otherwise your prone to ping floods.