Many of the posts so far direct the original poster to dedicated firewall appliances or distributions. If I read the summary correctly, the OP is simply looking for a good GUI to manipulate the firewall rules built into the kernel of all modern Linux distributions.
I can't vouch for any of them, but GUI frontends include guardog, lokkit, firestarter, and probably others. They are all in various states of development and maintenance.
Part of what the user wants to do (firewall per app) wasn't possible in the past with iptables (per-gid blocking was easy), but I believe it's now possible. A primitive daemon, called Leopard Flower, seems to offer this functionality: http://leopardflower.sourcefor...
From what I can see, the most promising, integrated, easy-to-use firewalling GUI software going forward is Fedora's firewalld and it's accompanying GUI. I know firewalld is available on Ubuntu (and its command-line interface). I'm not sure about the GUI part. Perhaps someone familiar wit Ubuntu can comment. Here's an article on installing it in Mint, so I assume it's similar in Ubuntu: http://www.linuxbsdos.com/2013...
From what I can see, firewalld and firewall-config hit the sweet spot for most desktop users. I'd never use it on my router, but for a desktop, it works pretty well and is under active development. I imagine it will sport per-application feature soon, if it doesn't already.