These are what I have used in the past and can advise they are worth a look at if you don’t want to go down the paid-for Internet Security suite route. My preferance these days is to install an Internet Security Suite like Vipre Premium.
ZoneAlarm. Been around for years and even some paid-for Antivirus software vendors licence the Firewall engine from Zonelabs. I actually bought the Pro version of ZA years ago because I was so impressed.
Outpost. Another one that’s been around for years but not the easiest to set up and use. Once you have learned how to set it up, it does a brilliant job.
PC Tools. May have changed a bit since I last used it but it did work quite well.
There are others that I haven’t used but they get good reviews, check them out at the firewallguide.com.
Not really personal firewalls but worth a mention here : –
OpenDNS. You might need to hop over to Wiki to find out what DNS is but basically the Internet and WWW would be impossible without DNS. Normally your ISP provides you with a DNS service but OpenDNS allows you to exclude sites that you don’t want your children visiting and much more.
WOT (Web of Trust). This is an add-on for Firefox and Internet Explorer. It helps to avoid dodgy websites.