If you're a home user, there's really no point in paying $40 for a firewall, as there are good free ones available.
I've tried ZA and Kerio.
ZA was the most user friendly but as well as the problem mentioned above, it also tends to corrupt it's own database or something and forget the rules you make as to which programs you want to be able to access the internet, which is annoying.
Kerio is a little more tricky to set up, but works smoothly, at least with XP. (I think the new version might have a few problems with 98, from what I've read on this forum.) Kerio does have a 'simple' mode, which is extremely easy to set up, but, like the XP firewall, doesn't control outgoing traffic. But then, all of the free firewalls can be a bit 'leaky', according to leak tests done by PC Flank for example. Kerio 2 has a lot of fans, but is more hands on.
(If you want the ultimate in outbound traffic control, Outpost is the one to beat at the moment, but does cost $40.)
Sygate also has a free firewall, very popular with many here, but often described as very user UNfriendly. It does apparently have a lot of advanced features (for advanced users?) but if you want an install it and forget it firewall, this might not be the one. It also doesn't have the intrusion detection feature of the pay version.
Outpost has a free firewall, but it is a very old version of their firewall and only recommended if you have need a firewall which takes up the minimum of resources.
My recommendation for the best free firewall at the moment is...
drumrole..
Well, I suppose I have to agree, whatever works for you.
But if you want a user friendly, set it and forget it firewall, ZA (if it works for you) or Kerio, if are prepared to use simple mode, or to have to think a bit more carefully about setting it up.
For more hands on users, Kerio 2 or Sygate.
I have a page on my site about free firewall, with my experiences of using ZA and Kerio, if anybody is interested. (Geocities + IE = crazy rendering, but Firefox is fine.)
http://www.geocities.com/dontsurfinthenude/rec_firewalls.htm