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I keep getting "iptables: No chain/target/match by that name" when I use the state option ipchains. Why?

When you do something like:

$ /sbin/iptables -A FORWARD -i ppp0 -m state --state NEW,INVALID -j REJECT

You get:

iptables: No chain/target/match by that name

Well, you need to compile the ipt_state.o module for the kernel. In menuconfig it's under Network Options --> NetFilter IPv4 --> Connection State filter

Alternativly, you can manually edit the ".config" file in /usr/src/linux (or whever your linux sources are) and replace the line:

# CONFIG_IP_NF_MATCH_STATE is not set

with the line:

CONFIG_IP_NF_MATCH_STATE=m

(or just add the latter line)

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