The best firewall to use is a hardware/firmware firewall.
They are relatively cheap from about $25-$100
In combination with a hardware firewall use Windows firewall and you will be secured against remote attacks
The one thing that both of these do not offer is outbound protection
You may want outbound protection if you download a lot of .zip or .rar torrents which may contain a trojan or spyware, or, if you dont want some software you’re using to “phone-home”
This is where ZA, Kerio, Mcafee, or Sygate come in
ZA truly is crap for people using p2p. It is a somewhat secure firewall but it cant keep up with p2p traffic, also, since it’s so widely used hackers will be trying to exploit it.
The other three are great firewalls and can keep up with p2p traffic.
I like Kerio because it is fairly simple to use, but it also offers more advanced features too
The only thing the paid version offers is ad-blocking and pop-up blocking. If you use Firefox or newer versions of IE then these arent really that much of a problem, so, the free version is all you really need.
I would recommend Kerio over Sygate if you’re used to ZA and dont know much about making firewall rules.
PS: While a firewall is great and all it is just as important, possibly more important, to have a good updated antivirus program as well. This is where Mcafee shines, it offers both in one package (at a price though)