The majority of the 'regulars' around here in AB's Technology section (myself included) use Zone Alarm Free Edition:
http://www.zonealarm.com/store/content/company /products/znalm/freeDownload.jsp
(NB: Use the blue link on the right. The more prominent link on the left takes you to a time-limited trial of their full security suite).
However there are also plenty of fans of Comodo:
http://www.personalfirewall.comodo.com/
(Use the left-hand, grey link)
A firewall is basically a very simple piece of software which just closes a few unnecessary ports and ensures that only authorised programs are allowed internet access. Unlike anti-virus programs (which require frequent updates and can vary in effectiveness) firewalls just need to be installed and largely forgotten about. So there's very little to choose between them. I'm perfectly happy with Zone Alarm (which is very easy to install and use) but I'm sure that Comodo could do the job just as well.
Chris