Properly configured, the XP SP2 firewall will pass the GRC tests and get a "TruStealth" rating, which is as good as it gets.
But it's an inbound firewall only - if you get something nasty on your PC making outbound connections, XP SP2 firewall won't spot that.
I used to use ZoneAlarm but found it heavy on CPU and memory, and (I am pretty sure that) they shipped a couple of dodgy updates earlier this year that finally put me off using it.
As an alternative try
Kerio Personal Firewall instead - does the same job.
Make sure that you're using up to date AntiVirus software too (try
AVG Free Edition) and I'd also recommend
Spybot Search & Destroy - use the "Immunize" feature.
RC