Some more debugging info:
netcat to digg.com 80 with no firewall (TRACE target on raw OUTPUT)
Jan 6 22:19:36 gw TRACE: raw:OUTPUT:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=39286 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687857 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:19:36 gw TRACE: mangle:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=39286 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687857 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:19:36 gw TRACE: nat:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=39286 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687857 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:19:36 gw TRACE: filter:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=39286 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687857 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:19:36 gw TRACE: mangle:POSTROUTING:policy IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=39286 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687857 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:19:36 gw TRACE: nat:POSTROUTING:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=39286 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687857 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:19:36 gw TRACE: raw:OUTPUT:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39287 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK URGP=0
Jan 6 22:19:36 gw TRACE: mangle:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39287 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK URGP=0
Jan 6 22:19:36 gw TRACE: filter:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39287 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK URGP=0
Jan 6 22:19:36 gw TRACE: mangle:POSTROUTING:policy IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39287 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK URGP=0
Jan 6 22:19:41 gw TRACE: raw:OUTPUT:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39288 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK FIN URGP=0
Jan 6 22:19:41 gw TRACE: mangle:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39288 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK FIN URGP=0
Jan 6 22:19:41 gw TRACE: filter:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39288 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK FIN URGP=0
Jan 6 22:19:41 gw TRACE: mangle:POSTROUTING:policy IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39288 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687858 ACK=2594171353 WINDOW=5840 ACK FIN URGP=0
Jan 6 22:19:41 gw TRACE: raw:OUTPUT:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39289 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687859 ACK=2594171354 WINDOW=5840 ACK URGP=0
Jan 6 22:19:41 gw TRACE: mangle:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39289 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687859 ACK=2594171354 WINDOW=5840 ACK URGP=0
Jan 6 22:19:41 gw TRACE: filter:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39289 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687859 ACK=2594171354 WINDOW=5840 ACK URGP=0
Jan 6 22:19:41 gw TRACE: mangle:POSTROUTING:policy IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=40 TOS=00 PREC=0x00 TTL=64 ID=39289 CE DF
PROTO=TCP SPT=50725 DPT=80 SEQ=3378687859 ACK=2594171354 WINDOW=5840 ACK URGP=0
with firewall
Jan 6 22:20:28 gw TRACE: raw:OUTPUT:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24393 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:28 gw TRACE: mangle:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24393 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:28 gw TRACE: nat:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24393 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:28 gw TRACE: filter:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24393 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:28 gw TRACE: mangle:POSTROUTING:policy IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24393 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:28 gw TRACE: nat:POSTROUTING:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24393 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:31 gw TRACE: raw:OUTPUT:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24394 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:31 gw TRACE: mangle:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24394 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:31 gw TRACE: filter:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24394 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:31 gw TRACE: mangle:POSTROUTING:policy IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24394 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:37 gw TRACE: raw:OUTPUT:policy:2 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24395 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:37 gw TRACE: mangle:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24395 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:37 gw TRACE: filter:OUTPUT:policy:1 IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24395 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
Jan 6 22:20:37 gw TRACE: mangle:POSTROUTING:policy IN= OUT=eth1 MAC=
SRC=87.247.77.88 DST=64.191.203.30 LEN=60 TOS=00 PREC=0x00 TTL=64 ID=24395 DF
PROTO=TCP SPT=58290 DPT=80 SEQ=4208670647 ACK=0 WINDOW=5840 SYN URGP=0
It seems that it never goes to ack somehow :(
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