I would definately recommend Zone Alarm. It is free although there is a pro version as well, and it does everything you need.
You could also you the firewall coming with windows xp, if you use that operative system, but I still prefer zonealarm.

The "Best" firewall is a very subjective request. As you've pointed out, there are several out there from ZoneAlarm, to Black Ice to pccillin and, of course, the one that comes built in to Windows XP (as pointed out by dustPuppy).

Here's my rule of thumb: If you're working with protecting a single system, a software based solution is adequate, and any of the ones you've mentioned would work - and another one to look at is the free offering from Sygate. It's extremely configurable and still quite secure.

However, if you're looking at securing multiple computers on the network behind your broadband connection, look to using the features of your router as a first line of defense - if you're not doing any FTP servers, there's no reason to permit traffic on port 21 so you can configure your router to block port 21. If you're not hosting a mail server, there's no reason for you to permit traffic on port 110 (POP3) or allow incoming requests to port 25. Most common routers by D-Link, Linksys and Netgear all permit this type of port filtering and mapping.

If you're really wanting to have a serious firewall solution, look to a hardware-based solution from Barracuda or Netscreen. Both offer a product for <$500 that will be very effective at blocking unwanted visitors.

There is no need for a software firewall if you are already behind a hardware firewall. They do nothing more than have applications ask permission to access the internet. This can be helpful in protecting your system in certain instances, such as if you've donwloaded malicious software which is tryng to access the internet, but it is also a nag. I've run ZoneAlarm on my system before and I did not particulary appreciate it. I've generally found software firewalls to hog ressources unnecessarily.

The best defense against things such as viruses and malware/spyware/adware are proper "conduct' online. Do not open unknown executables whout scanning them. Also be wary of anything that comes off of peer to peer networks as they are more likely to be infected than most other things. In most cases, the problem is something you downloaded.

You must also ensure that Windows is fully updated. I have had the unfortunate experience of browsing the web without patching a WIndows XP machine after a fresh install and my system became crippled and I had to reinstall the OS again. That was within only a few minutes. Updating Windows is absolutely vital for an operating system to remain in good health.

After Windows has been updated, it is still possible to become infected. There are many free applications which will detect and remove any form of malware, spyware or adware which infect your computer. I have found that Lavasoft AdAware SE 6 and Safer Networking's Spybot Search & Destroy to be very good. I also use Spyware Blaster to keep the system protected against many threats. All of these solutions are free and consume no system ressources, nor will they nag you.

The last piece of sotware which you need is an Antivirus. These are not usually free and unfortunately consume lots of ressoouces when realtime protection is enabled. This is inevitable but essential to protecting your PC. I have used Kaspersky Antiviurs and have found it to be quite a complete solution. The detection rates are high and virus definitions are updated every day.

Overall, with this protection, I have kept my main system running for over two years on the same Windows install. As you may have seen, I do my best to keep system ressources used very litle while retaining large amounts of protection. It may not be completely optimal for security, but my system does appear to work quite well, and has in the past which is why I use it and reccomend it. Software firewalls are of no use unless you use a laptop and frequently connect to networks which are not behind firewalls. Following this simple tips should keep you safe at all times.

Wow, thanks a lot for the time you put into helping me.
I definitely got my question answered and more...