Windows firewall is okay, but it's primarily for inbound protection, like Visnetic/Deerfield, Ghostwall, and some others.
I use ZA free at the moment and notice very little hit on my resources. If you don't mind paying, LooknStop is an excellent firewall, very light on resources, and worth checking out.
Personally, I like the latest ZA free. I'm running an older machine, 1.3 AMD Athlon and 512 RAM and have no complaints. ZA Pro hits me a bit harder, plus causes some sort of conflict with AVAST so I haven't enabled my license for ZA Pro.