For those looking for a Windows Personal Firewall: I've messed around a little with Agnitums OutPost Personal Firewall.
Open Architecture!!! Advertisement Blocking (Hey JP, what adds are there on AO? Can't see any of them!), Content Filtering, E-mail Guard and Privacy Control. It's only a beta, but it already convinced me...
Here's a little comparison between OutPost and some other Personal Firewalls.