OUTPUT ACCEPT, but can't see out

[Kevin Mulcahy <k.mulcahy@galleryglobalnetworks.com>]

Hi All
I have a very simple set of rules, with default policy for INPUT being 
DROP and  default OUTPUT being ACCEPT.
However, I can't hit anything on the outside.  I can't ping, ssh - nothing.
When I flush everything I can see outside no problem.
My script is:

IPTABLES="/sbin/iptables"
INTERFACE="eth0"
SERVER="x.x.x.x"
SSHA1="y.y.y.y"
$IPTABLES -P INPUT DROP
$IPTABLES -P OUTPUT ACCEPT
$IPTABLES -P FORWARD DROP
$IPTABLES -A INPUT -i $INTERFACE -p tcp -s $SSHA1 -d $SERVER --dport 22 
-j ACCEPT
$IPTABLES -A INPUT -i $INTERFACE -p tcp -s $ALLIP -d $ALLIP --dport 80 
-j ACCEPT
$IPTABLES -A INPUT -i $INTERFACE -p tcp -s $ALLIP -d $ALLIP --dport 443 
-j ACCEPT
$IPTABLES -A INPUT -i $INTERFACE -p ALL -m state --state 
ESTABLISHED,RELATED -j ACCEPT
#Note - this appears to generate an error
# iptables: No chain/target/match by that name
# but would that affect OUTPUT ???
$IPTABLES -A INPUT -i $INTERFACE -p ALL -j RETURN

$IPTABLES -A OUTPUT -o $INTERFACE -p ALL  -j ACCEPT


Cheers
Kev.