For whatever reason, Ubuntu 14.04 does not seem to come with a firewall.
There are however two packages which provide, both a firewall and a handy GUI front-end for it. UncomplicatedFireWall is the main package (ufw) and the GUI is gufw.
To install:
# apt-get install gufw
This will install the front-end and the dependent packages
To turn it on:
# ufw enable
The default is to block all incoming traffic.
To update and add your own firewall rules and allow incoming connections
# gufw
The GUI is quite intuitive and allows advanced users the ability to create their own custom rules.