I used to use free
Online Armor when I had a computer with XP. (I still have that on my aunt's laptop which uses XP SP3.) It seemed to work well, and was recommended because it did well on 'leak tests' -- better than the Kerio firewall I had used before that. I did use the PC Tools firewall at one point and wasn't unhappy with it. Just tried different things.
OA does nag a bit, though.
Now that I have a new Windows 7 computer, I just use the built-in firewall. That way I have one less thing to worry about installing. I
hope it's doing its job !
I've toyed with the idea of installing a Linux OS (Mint or Ubuntu -- maybe as a dual-boot set-up ?), but I really don't know much about such things. But I've heard that security software isn't (yet) as much of a necessity with Linux as with Windows. I don't know how that would apply to firewalls...