Ask 10 people and you could get 10 different answers.
Outpost (sorry no link) is new and in beta but some people here like it. I dont trust it because of its beta status, but I will try and check it out when it goes gold.
ZoneAlarm is considered one of the best out there, but it does not have enough configuration options to be increadibly useful (atleast I did not see how to edit enough configurations)
Norton Personal Firewall (norton.com?) has been mentioned, but I dont like Norton Software. I have not used this one either.
sygate firewall has been mentioned a few times and it seems people like it but having no experience with it I cannot say how good it is.
I really need to get a windows machine to start testing these things out...