iptables the Ubuntu way

First, get your rules right on the commandline, some examples:

iptables -F
iptables -P INPUT DROP
iptables -P OUTPUT ACCEPT
iptables -P FORWARD DROP
iptables -A INPUT -i lo -j ACCEPT 
iptables -A INPUT -i eth+ -m conntrack --ctstate RELATED,ESTABLISHED -j ACCEPT 
iptables -A INPUT -i eth+ -p tcp -m tcp --dport 22 -j ACCEPT
iptables -A OUTPUT -o lo -j ACCEPT

Then save to a file:

iptables-save >/etc/iptables.rules

Then in your /etc/network/interfaces file in the block for your interface:

pre-up iptables-restore < /etc/iptables.rules

If you are using network manager, you might want to put a script in dispatcher.d instead of using network/interfaces.

Another alternative is installing the iptables-persistent package, which installs a service that runs iptables-save and iptables-restore against rules in these files (for IPv4 and IPv6):

/etc/iptables/rules.v4
/etc/iptables/rules.v6

You can do iptables-save to create those files, or just get the rules the way you want then let the package do it for you:

sudo dpkg-reconfigure iptables-persistent