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Firewall software for OS 9 is probably not necessary.  I haven't used it in OS 9, but I have a feeling that if you get something, go with Norton or Netbarrier.  I hate Symantec, but their personal Firewall is supposed to be okay, though you need at least 9.2.  Netbarrier looks like it has a lot more features and will even work with OS 8!  Either of 'em would probably work.     

 

My experience with MacOS 9 suggests that it is inherently strong enough as-is.  Have a white-hat friend ping you on a network.  He'll have a hard time even figuring out what kind of computer you've got let along finding any holes (unless you expressly turned something on).  MacOS 9 sends the least amount of data back to the hacker of just about any OS out there.

if its a "real" OS9 sys, and NOT classic i would never use a firewall on it. there are no mac exploits out there.
but if its "classic"-modus under OSX i would think about, because the carrier system OSX makes the situation worse...
but then you can use the build in firewall in OSX, but i dont know how well it really does its job.

If the computer is going to be connected to the net directly, ie not on a LAN, then the best bet is to put it behind a gateway. You can pick these up dirt cheap (less than the cost of software firewalls in many cases) and they provide positive firewall protection that is extremely cracker-resistant. Software firewalls are good but it is hard to beat dedicated hardware. Plus, a gateway will offload PPPoE chores from the Mac and allow you to share the internet connection.

There are lots of such devices available from various manufacturers. Go to any electronics retailer like Future Shop, Staples or Radio Shack and they will probably have at least 2 or 3 different brands in stock. I use a D-Link DI 704 and it has been rock solid for a few years now.