I would say zone alarm or black ice defender.
It really depends on how much protection you really want. Firewall software can be good but a pain in the butt. If you have a router and only forward one or two ports then don't worry about firewall software. just get your self some good anti virus protection.
Check out
http://grc.com/default.htm
He can over react sometimes but is well worth the look. He recommends zone alarm over black ice