Personally i use an old box runniong smoothwall for my firewall, i`ve never been a fan of desktop firewalls.
I`d say its proberly best to stick to what you know. I`m not saying you shouldn`t try new programs or experiment but its best to do that on a seperate computer. You should just install zone alarm on an old computer and have a little play around. once you feel comfterable with it and if you think its up to the job then put it on your main desktop.
Anyway thats just my 2 cents.