There are many threads on this forum concerning firewalls!! There are also many differing opinions about the efficiency of various offerings.
My advice is follow your nose. I personally use the Zone Alarm Pro 3.0x which I find very good. Not only does it monitor for incoming traffic, but lets you know if any program on your own computer is trying to output anything.
For me Norton is a seriously bad word that Parents threaten their kids with!!
Personally, I'm quite happy with XP Firewall.... I won't claim it's the best, but it's certainly the easiest. Further (and, again, I won't claim this is definitive), with the default settings it passes the security programs at http://www.dslreports.com
with flying colors. I agree, follow your nose; no matter which you choose, it's better than none....