The basic zonealarm is free for personal use, give that a try to see if you like the way it interacts with you, and if you do you can purchase the pro version if you need it. The GRC site mentioned above is a must for anybody using a firewall, it bombards you with entry attempts (of course with your permission) and tells you any other holes you need to close up.

I have been using zonealarm for years and really recommend it.