The best firewall in the world is to physically disconnect your machine from networks
After that it depends on what you want from your firewall and what kind of network you are on.
For the Internet are you on Broadband or Dial Up?
Are you on a Local Area Network (LAN)?
Do you use Internet Connection Sharing (ICS)?
Do you want a 'Pop Up Blocker'?
Do you want a suite of Firewall & Anti Virus applications?
How much are you willing to spend?