There is no such thing as a "best firewall". "Best" is relative to your needs and abilities.
For example, for people like me I would recommend Tiny Software Firewall, but for people like my parents, Tiny Software Firewall would be on the bottom of the list.
What do you look for in a firewall besides the obvious? Do you look for ease of use? Do you look for the most flexibility? Or maybe for constant alerts and questions from the firewall so that you could be on top of things?