Normally you would need at least two computers to test a firewall. That is still an option, however recent builds of FireHOL ship with a tool, vnetbuild, which helps you to build whole virtual networks using only the standard network namespaces feature present in recent Linux kernels.
You can run any commands you want in the namespaces and they will behave with that view of the network. This is ideal if you want to control everything without the expense of setting up lots of real or virtual hardware.
Otherwise, if you only have one machine or you want to test your live firewall from outside, there are a number of online services.
To test your firewall there are a few software tools and a few online services to help you. I suggest the following tools:
Nessus is probably the best open source security scanner available. Nessus not only checks the firewall of a host, but also scans for known application vulnerabilities. I highly recommend Nessus for periodic (weekly, monthly, etc) scans.
Nmap ("Network Mapper") is an open source utility for network exploration or security auditing.
It is also possible to try out connections, see what effect your firewall is having and monitor exactly what is happening on the network with tools such as:
netcat (nc) allows you to easily listen for connections and create connections and send data over both TCP and UDP.
tcpdump allows you to see and capture the traffic seen by a network device.
Wireshark is a GUI equivalent which makes it very easy to decode and filter live traffic as well as being able to read data captured by tcpdump.