FWIW, I tested Zone Alarm, Tiny Personal Firewall,
Norton's personal firewall, and a couple of others
about 6 months ago.  ZA and TPF were the only 2 I
liked, and TPF seems best - for what I want.  I
couldn't figure out how to configure some situations
with ZA.  ZA has a prettier GUI, but I just wanted to
put in the ports and the addresses and so forth that I
wanted to control. TPF seemed more straight forward on
this.  ZA is definitely better for someone who doesn't
know ports and IP fairly well.  It puts things in
friendlier language.  (Both are free for personal use.)

I would be interested to know what we have on the Linux
side of the world that is comparable?  That is, a
firewall that doesn't run on a separate box, but
protects the system I'm running from.