azev, a firewall is a trusted component in your network. You are trusting it to enforce a certain policy with respect to traffic through it - that is, provide no more or less service than you specify. A key question to ask about any firewall is: can you trust it? Formally speaking, the answer for all firewall products is no, but informally speaking, it comes down to the confidence level you have in the vendor and the product, which in turn often comes down to reputation.
What's Microsoft's reputation on security? Abysmal.
Cisco's? Okay.
SonicWall's? Okay. Not as well proven as Cisco.
I will never willingly put Microsoft anything into my network. I can't trust it. It's a security disaster. It's a reliability disaster. Been there, done that, been burned, ain't going back.
Cisco isn't perfect, but they're very widely deployed and reasonably good about responding to security problems fast. A lot of people whose opinions I trust and my own operational experience is that Cisco's equipment can be made to work well enough.
SonicWALL has a more limited user base than Cisco and is therefore less proven. From what I've seen and read, they seem on par with Cisco in terms of trustworthiness, maybe slightly below because of who uses/tests Cisco PIX vs. SonicWALL (there are many PIX customers who are very hard core about lab testing and won't buy until issues are fixed - that forces Cisco to improve the quality of their product).
If it were me picking, I'd pick PIX, no question.
Nothinman, the PIX line runs its own OS, which has a vaguely IOS-like CLI grafted on it.