WinXP firewall is not bad. It hides your ports from attackers from outside. But it is not perfect, and it does not have outbound protection. So any malware that gets past it (because it is not perfect) can connect to the internet to download more malware or send out your personal information (like user names and passwords).
I have noticed several avast users like Comodo firewall. Maybe it would be good to check that forum (
http://forums.comodo.com/) to learn more about Comodo and see if your firewall is configured right.
Other firewalls recommended by some avast users are ZoneAlarm Free, Sunbelt Kerio Personal Firewall, and Sygate Personal Firewall, which can be downloaded from filehippo, at
http://www.filehippo.com/.
There is not one firewall that is the best for every person. The firewall that is best for you depends on your computer system and other software, your knowledge and ability to work with your computer system and firewall, and on what you do on the internet.