I've been using Sygate Personal Firewall for a few years now but the company no longer exists, or it works for Symantec, or I don't know...
Anyway, I tried McAfee, ZonaAlarm, Tiny, Kerio, Windows Firewall and I'm going to try F-Secure now.
I'd like to hear your thoughts about firewalls... I loved Sygate for it's simplicity and effectiveness, and I was told that F-Secure is very much like Sygate.