Kerio firewall is also good. I use Zonealarm but other firewalls have been good. The windows firewall will prevent most incoming connections but doesn't usually stop outgoing ones.
The best firewall would be a hardware firewall router.
Well I have a router with a quite good firewall so I use Windows firewall. But I have checked and all of my ports are stealthed by my router, so it doesn't matter what my software does.