It really depends on where you are doing your filtering. If it connects you to the internet, I would deny all icmp except echo-reply (also unreachable and time-exceeded if you want traceroute) inbound, allows you to ping out but no one can ping in. If the device allows VPNs in, you willl need to allow "Destination Unreachable" as well (Type 3 Code 4) for Tunnel MTU Discovery (End-to-end MTU discovery uses Internet Control Message Protocol (ICMP) messages to determine the maximum MTU that a host can use to send a packet through the VPN tunnel without causing fragmentation).
If it's an internal router/firewall, you could allow echo both directions (and also source-quench). But generally, deny everything except what you need. ICMP is considered a security risk, that's why I would deny all icmp inbound from the internet (except as I mentioned before maybe echo-reply, but even that probably should be denied in the absence of any real need).
Hope it helps.
Steve
