The products I have the most experience with, Norton Internet Security and ESET Smart Security both feature automatic two-way firewalls which are very effective for the average user. I'd rather risk meddling up my outgoings (easily resettable) than risk a virus dial home unchallenged.
Free protection is a false economy. You might get a decent AV product (MSE) but the popular free firewalls (ZoneAlarm/PC Tools) are too complicated for the average user and prone to messing up.