I'm still using Norton...version 2003. The 2004/2005 versions have more add-on's/popup blockers/online activation with Norton, which is probably why I haven't put them on my own machines. I use them on stand-alone test machines at work though. Zone Alarm is pretty straightforward. Security-wise, it's as good as any. And the non-Pro version is free! The protection is the same from the non-Pro to the Pro version, but the Pro version has add-on's that aren't related to the firewall. Another recommendation is Tiny Personal Firewall. Not sure if TPF has been updated in awhile, but last I heard, it was a solid performer.
McAfee seems to have a solid product too...protection-wise. But from the different versions I've run, I absolutely can't stand their interface. BlackICE Defender isn't quite a firewall...it's an "intrusion detector." I don't recommend it for firewall duties.
In addition to all that, if you're on cable/dsl, a $20 router (probably with a $20 rebate too) will add a measure of "firewall-like" protection from unsolicited packets from ye olde Intarweb. Routers say they have a firewall, but it isn't a true firewall. But I still recommend them (in addition to a software firewall) as they're good at what they do.