If someone wants to check out Second Life:
Second Life needs to connect to ports 443/TCP, 12035/UDP, 12036/UDP, and 13000-13050/UDP. You should configure your firewall to allow outbound traffic on those ports, and related inbound traffic.
Ok, so TCP is fine with NAT firewalls - but apparently it also wants all those UDP ports inbound. And why does a game client need 51 UDP ports in a block? And why so many UDP ports at all? Do game designers ever think about what they're doing? In the case of Second Life, apparently not ...