You don't want remote sites to receive responses if they ping you.
For iptables :
# iptables -A INPUT -p icmp --icmp-type echo-request -j DROP
# ipchains -A input -p icmp --icmp-type echo-request -j DENY
In this case, we use DROP and DENY instead of REJECT. If you're trying to hide from pings, then replying with a rejection kind of defeats the purpose, eh?
Don't make the mistake of dropping all ICMP messages, e.g.:
WRONG!! DON'T DO THIS! # iptables -A INPUT -p icmp -j DROP
because pings are only one type of ICMP message, and you might not want to block all types. That being said, you might want to block some others, like redirects and source quench. List the available ICMP messages with:
$ iptables -p icmp -h $ ipchains -h icmp
iptables(8), ipchains(8). The history of ping, by its author, is at http://ftp.arl.mil/~mike/ping.html.