coemgen: Zone Alarm is certainly not the best you can get!! Zone Alarm is the simplest and most cost-effective software firewall currently available for the consumer. It does not even come close to enterprise strength software firewalls that cost much more, and in fact doesn't even compare to consumer hardware firewalls.
Too many people install firewall software in the same blase manner in which you made that statement and they are the one's responsible for the Internet security problems. Aussie and his suggestion of firewallguide.com is far better: it will educate you about the reality of network security issues, rather than lead you to believe that a one-click consumer product will happily protect you from every evil out there.
Sorry for the rant :-)