Definitely Zone Alarm from my experience and reviews I've read, but you might want to look here
http://tooleaky.zensoft.com to see just how secure your firewall is.
There's a small program on this site to test your firewall's outbound filtering. It's beyond my level of understanding but you experts might know something about it.
From the site: "This software is targeted for security professionals. Unless you have a thorough understanding of software firewalls, outbound filtering methods, and the details of this exploit, there is no need to download this program. It's not going to do anything other than frustrate you. However, that said, it can be lots of fun to demonstrate to your friends how you can get right through their firewall if it trusts Internet Explorer."