Here are the some of the best available firewall softwares, personally I tried various firewalls but I found none of them better, recently uninstall the outpost firewall pro 2008 because it's lagging on windows vista :S, Zonealarm was better but now it's a resource hog, worst for gamers! I heard good reputation about Online Armour firewall, but it's only for XP at the moment
Going to try the Comodo firewall now..let's see how it goes!
BTW, which firewall software you guys are using?
Here are firewall software ratings: