UDP services (e.g dig) through firewalls

[Mohamed Ellozy <ellozy @ farber2 . dfci . harvard . edu>]

I understand why user level UDP services, like dig, do not go through
packet filters that screen out all "unknown" ports.

Do more sophisticated products allow uuser level UDP services through?
Actually the only one I care much about is dig/nslookup.  If they do,
how?

Thanks.

Mohamed