I have a desktop and a notebook and I currently use Zone Alarm (free version not Pro) and have done for a couple of years. I think it is fab and would recommend. I combine this with Spybot and Adaware and now MS AntiSpyware (Beta) together with Norton Antivirus Pro 2003 (excellent) on the desktop and Sophos (OK but nothing special) on the notebook.
I am think of changing my Firewall to either Norton or McAfee Personall Firewall. No reason to dump Zone Alarm as I think it is a great product (especially as it is free) but I wonder whether I have the best option as so many people seem to use one of the others.