My personal favorite is kerio's firewall which is free for personal use. most of the free firewalls have previously been mentioned. I have tryed many firewalls, they all have their pro's and con's. Once you have found one to try you can test it out online at www.pcflank.com

At pcflank you can run a number of security scans without downloading any program files or exacutables. But you must remember that configuration of your firewall is important. Most firewalls come with help files and online documentation. These are worth reading, even if you dont fully understand it. It will provide you with a better understanding so that you can create efective rules that will meet your security needs and wants.