Good point. Be careful when adding your own IP# to make sure you're adding it to a whitelist, and not a blacklist.
If you've got more than one system you can shell into one which works, and then from there into the one you've accidentally blacklisted, and stop the firewall from the command line, but not all of us have the luxury. Or if you've got a static /29 (we do, temporarily log in from another one of your IP#s. Our provider only charges us an additional $5/month for a /29 over a /30, so we pay for it happily to have the safety net.
We've recently starting provisioning only servers that come with IPMI so we have a built-in visutal KVM in all our new servers. When our old servers are all decommissioned (next few months) we'll be able to log into any machine in the DC without help or expensive dedicated KVMs.
Jeff