I've used every firewall I've come across, at one time or other. It's my 'thing.' Currently I'm playing with ZA Pro (trial), and I like it. On my machine, at least, it works nicely. Despite complaints of high resource useage, I don't find any evidence of it. I'm running XP SP2, 1.3G AMD Athlon, and 512 RAM.
Prior to installing ZA, I had LooknStop which I found to be another excellent firewall, if you have the enhanced ruleset activated.
Despite fooling with every firewall I've come across, I always return to Sygate Pro. I have never had a single problem with it, and I like the Pro features, especially the feature that allows for surfing with OS and browser info hidden. Sygate, free and pro, has always tested fully stealth for me immediately after download and without any tweaking necessary. It passes every test I've thrown at it, as does LnS, ZA, and Outpost. I think it's the single feature mentioned above that attracts me. All mentioned are worthy of consideration, in my opinion.