My problem with ZoneAlarm is the "nagging." That, and it takes up a good amount of resources. I prefer BlackICE, as Norton Firewall was an absoute PAIN to configure.
As to ARP, I believe if one is on a switched LAN as i am (5 machines, file sharing, behind router, linked by switch + 802.11.), you dont have much choice about ARP, unless, of course, if the machine specifies it's own IP address rather than having the router assign it would remove the necessity of ARP.
Just a thought.