One of my servers has a nasty habit of not reloading the firewall rules when it boots up. Iptables starts up just fine, but doing iptables-save shows that there are no rules listed. The weird part is that on all my other servers, I never had to do anything special to get it to remember the rules on restart.
A short google search and I found the answer. Or at least a solution. Well, I haven't actually tested it, but it looks like it worked.
service iptables save
It reports that the firewall rules are saved to /etc/sysconfig/iptables
.
I found out about that trick here.