Depends how you mean compatible - I expect very few hardware firewalls are incompatible with Linux from a server or client point of view, but might require a Windows box in order to run the management application which is sometimes a fat-client windows-only one (FW1 for instance (although there might be an alternative))

Some products though I believe offer alternatives (such as web-based management) which would be manageable from a Linux workstation.

If you only need it to be compatible with Linux as a client or server, probably anything.