I'm currently using Sygate Personal Firewall. The current version is without a doubt a top-notch firewall. According to Steve Gibson's port scanning test at GRC, all my ports are stealthed. It monitors your computer at the Ring 0 level, and will even stop suspicious activity before it is fully loaded.
I've used ZoneAlarm and Tiny Personal Firewall with great success. However, the latest versions of ZoneAlarm started giving me problems with my computer. I really love Sygate's current incarnation. TPF requires a more technical-oriented approach when configuring. (You really need to know about rules.)
While ZoneAlarm does everything behind the scenes for you, Sygate is easy to configure, yet flexible enough, like TPF, where you can further define the rules for each program, or modify them to your satisfaction.
Try it, you'll like it.
>>>>>>> tHe gEEkstaR
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"All warfare is based on deception.
...to fight and conquer in all your battles is not supreme excellence:
supreme excellence consists in breaking the enemy's resistance without fighting." --The Art of War