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.
apt-get install gufw
This will install the front-end and the dependent packages
To turn it on:
The default is to block all incoming traffic.
To update and add your own firewall rules and allow incoming connections
The GUI is quite intuitive and allows advanced users the ability to create their own custom rules.