I tried ZoneAlarm like a week or so ago and wasn't super pleased with it. I read the latest build or at least the one at that time was a bit buggy. I know of one mmo game it would not let you log all the way into, Asheron's Call 2. It'd take you to checking your account and it'd sit there checking over and over. Disable ZoneAlarm and you could get in, others have complained about it.
