I am a Windows Convert,
I now have a macintosh running mac osX Tiger.
I have Brickhouse set up to configure the os firewall.
Does anyone know the best firewall to use?
Does anyone know any Security issues to watch out for
Well, the firewall you're using is the ipfw firewall in the kernel - no matter what configurator you use for it. It's a perfectly good firewall, to be sure.
Depending on your level of geekiness and desire to dig into what's going on on your computer, the best configuration method would be either to use a GUI like BrickHouse, or hand editing the startup files.
Nothing that specially mac-specific for security issues as far as I know - keep your patches up to date, use solid passwords, be aware that unattended physical access trumps all else, yadda yadda...