The "Console Firewall" allows you to use the advanced features of the built in firewall that comes standard with OS X (ipfw). It works in a BSD style, in that it simply sets the rules from a simple configuration file. It comes with a StartupItems script. Thus the firewall rules in /etc/rc.firewall are automatically applied when the system boots. This allows you to do more advanced things with your firewall then you can with the firewall that comes in the System Preferences.
IPFW
ipfw (IP Firewall) is the advanced, bulletproof firewall built into Mac OS X. This is a firewall that has been tested, retested, and tested again on billions of unix servers around the world. If you thought the firewall in System Preferences was all you could do, you would be very wrong. If you were looking for a way to take advantage of the advanced firewall features built into the OS, and were wondering how these could be applied automatically when you boot, then you came to the right place.
I can not even begin to describe all of what ipfw can do. Type man ipfw for more information. Or you can look for an ipfw tutorial online. There are many good ones out there.
Startup Items
"On most platforms setting up programs and services that run during the startup process is often frustrating and confusing. Mac OS X, on the other hand, gives the developer or system administrator a precise and simple mechanism for handling the running of programs and services during the startup process." (MacDevCenter)
These simple to create Startup Items is what I made for this firewall.
For an excellent article about creating Mac Startup Items, see this article (the one I quoted):
Start Me Up: Writing and Understanding OS X StartupItems
You can also read the one I wrote!