My preferred firewall before this was ZoneAlarm. Although free, I don't really feel ZoneAlarm is perfect. For one, it consssstantly crashes and it bothers me to think that my PC would be unprotected when the program crashes. Another thing I hate is that it's difficult to set up file sharing even in my local wireless network.
Enter Comodo. It's also free, but it recognises thousands of known "safe" programs therefore requiring minimal input from the user. Also, Comodo is designed to stop malware that uses your connection in the background and Comodo is easier for file sharing.
I'm trying it at the moment and if the features are as advertised - this will probably be my new favourite Firewall.
Link: Comodo Firewall