I use Norton Firewall and I love it - does the job very well in my opinion but I know of others who don't like it for whatever reason. I have a complicated rule base as I also setup VPN's between by friends so this product is ideal.
ZoneAlarm is good up until a point. ZoneAlarm pro is a far superior product compared to its free counterpart.
As the saying goes, you pays your money you takes your choice.