Hmm the best firewall.. An openbsd 3.1 box stripped to hell running only packet filtering...

Hmm.. well thats what I'm in the middle, or beginning of configuring. As for starters, I would reccomend you get Agnitum's Outpost. Its a very good firewall, has lots of options, and even includes an ad killer.

Although you should probably read up on firewalls and general attacks. Half the time those pings you see on your firewall are just normal internet activity. If you see an ip scan a range of ports from say 1 to 1600, then you can worry a little bit. A firewall is only as good as its configuration. If you allow every single program access to the internet, well thats not a very secure firewall is it. So only allow programs when needed, and don't leave those internet programs connected 24/7, unless of course your configured properly. Well, hope that helps clear up a bit. If you have any other questions, just ask, thats why this board is here.