I don't know how good you are with this stuff, but I'm a "newbie". Whenever I try a new program "ease of use" and "simplicity" are biggies for me.
I've tried ZoneAlarm. Maybe I'm a little slow, but I found it confusing and more trouble than I felt like messing with.
I also think anything from "Symantec/Norton's" is great. I have NSW 2002, but didn't get the Internet Security extra. I'm cheap too.
I didn't get the extra's because I'd found "Sygate's Personal Firewall". I love it. It's a free download, easy to install, easy to configure (practically setup and forget), works great!. I checked it at the Symantec site for vunerabilities, it passed with flying colors. Did I mention it was free too!