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ZA is probably the easiest and simplest for out-of-the-box usage, whereas Outpost has many plugins and is very extendable/customisable.
Others are Tiny personal firewall (Kerio?), Sygate and Norton, but I don't think any of these have free versions.
As mentioned briefly above, Tiny's firewall is now Kerio (www.kerio.com) the Tiny one isn't supported anymore AFAIK so go for Kerio. It's freeware for personal use.
This and ZoneAlarm are the only firewalls that have been consistently effective right from the start. There's an interesting survey of personal firewalls at GRC.com if you're interested - slightly out of date but very useful.
Both ZA and Kerio use MD5 hashing to block replaced applications. AFAIK ZA was the first well known firewall to do this. Sygate etc had a number of vulnerabilities (including this one) that they only fixed relatively recently.
126.96.36.199 - - [29/Apr/2003:14:57:48 -0700] "GET blahblah.whatever HTTP/1.1" 200 2107 "Field blocked by Outpost (http*//www.agnitum.com)" "Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.1; .NET CLR 1.0.3705; .NET CLR 1.1.4322)"
Can you say: "Blocked by Pendanticist, boys and girls?"
When will they ever learn it's not polite to spam someones log files? <he asked rhetorically>