I am using Sygate too,.. + the NAT firewall from my SMC Router enabled.
I use Sygate,..cause I am used to it,...and cause it is simple in setup,...
I know that many people use Zonealarm,..but I am not that convinced about it,..had some weird experiences with it,...troubles in our network,...errors...ect,...
The Windows SP2 firewall is OK I guess,..however,...I read there are some malfunctions concerning the firewall in SP2 a while ago,...so they had to patch it,...again,...
I would recommend you a router,....so you can share your internet with other home users,...
Once it is set up,..you do not need to upgrade the firmware,..(well off course you can,...but most people I know,..do not recommend this, cause it might screw things up)