whats a good firewall?

Zone Alarm, Kerio personal firewall are a couple that come to mind.

I have found also that Sygate Personal Firewall is quite good.

I use sygate also, but some people(myself included) are experiencing problems with the 5.6 upgrade and are being advised by sygate to stick with Version 5.5 until the bugs have been fixed.

Cat x

iptables and netfilter, but a pain to setup

If u wanna stay with Windows i would recommend Sygates Personal Firewall or Kerio as mentioned before. Both of them pretty reliable and easy to use

It's a little pricey and kind of bitchy... but Norton Firewall is pretty bullet proof and fairly easy to set up. I had the entire Norton Network package for two years (work and home) and never had any issues. The ad blocker that comes with it is really nice. No more flashing adds while you serf.