Matousec.com has done a study of 21 personal firewalls for leak tests, and the results are surprising. What's not surprising is that Windows XP SP2's firewall failed every test.
http://www.matousec.com/projects/windows-personal-firewall-analysis/leak-tests-results.php
http://www.matousec.com/projects/windows-personal-firewall-analysis/leak-tests-results.php