SharePoint connection to SQL Server

This is a big <facepalm> since it should have been pretty obvious.

I was trying to install a new SharePoint 2013 farm connecting to a brand new SQL Server 2008 R2. In the SharePoint Products Configuration Wizard, it asks for the SQL connection and kept rejecting my credentials. Checking on the SQL server side, I could not see any connection attempts. I used the following to test with Powershell

$CommandText = "SELECT @@VERSION"
$SqlCommand=New-Object System.Data.SqlClient.SqlCommand($CommandText)
$ConnectionString='Data Source=SQL1;Initial Catalog=master;Integrated Security=SSPI'
$SqlCommand.Connection=New-Object System.Data.SqlClient.SqlConnection($ConnectionString)
$SqlAdapter=New-Object System.Data.SqlClient.SqlDataAdapter($SqlCommand)
$DataSet=New-Object System.Data.DataSet
$SqlAdapter.Fill($DataSet)

I kept getting all sorts of errors. It turns out the Windows Firewall on my SQL server was not allowing port 1433. Argh - wasted a couple of hours tracking this one down.