This is possibly the best explanation page about firewalls on the Net (by Robert Graham).
Probably the most popular firewall product on the market, ZoneAlarm is a good choice to secure your PC. Best of all, there is a free version.
Norton Personal Firewall
Here is another great firewall from a reliable company. (If you act really quickly you can get this for $4.99 after rebate - no idea how long this will last!)
Sygate® Personal Firewall
Here's another personal firewall solution that's free for personal use from the nice folks at Sygate®.
eTrust EZ Firewall
You cannot go wrong with this product from Computer Associates. (You can download a free trial.)
This firewall log event log analyzer is free for personal use, and best of all, it works in conjunction with ZoneAlarm™.
From the developer: "VisualZone Report Utility is an intrusion analyser and report utility for ZoneAlarm and ZoneAlarm Pro. It displays a clear overview of all intrusion attempts and allows you to analyse the information in lots of different ways. VisualZone can perform a backtrace to try to find even more information about the intruder. You can even automate the process so that a backtrace is performed automatically when new attacks are detected. VisualZone can also submit intrusion attempts to DShield for further analysis."
Does your firewall leak? Find out just how effective your firewall is with Steve Gibson's free program.
Some of these programs may not be appropriate for all users. It is up to each user to decide if a particular program is appropriate. Try any of these programs at your own peril. Remember that it is always wise to make a backup of your system before installing anything new.