Best Free Firewall
A firewall helps protect against unauthorized access to a computer and unauthorized communication from your computer. It's this second part that I'm more concerned about since a trojan horse or other rogue software could transmit my personal information to anyone. In addition, my computer could be used as part of a zombie network used to attack other computer systems.
They're certainly not perfect, but they do provide another layer of protection that is worth having. The idea is that a firewall will detect unusual activity and prompt you, the user, to make a decision including whether to allow the activity to continue. The best free firewall that I've found that doesn't require a lot of configuration is called ZoneAlarm from ZoneLabs.
Throughout the download and installation process you will be given the "option" of trying the pro version for free or upgrading to another version. You can't blame ZoneLabs for trying to make a buck, but be aware that you don't have to choose any of the options and can continue with the completely free version.
Upon installation you will be prompted many times by ZoneAlarm whenever a program such as Outlook or Firefox attempt to access the Internet. This is part of the training process that eventually teaches ZoneAlarm what programs you consider safe. If all is working correctly, you should only be prompted once per program assuming you select the option to have ZoneAlarm remember your selection. When you upgrade these programs ZoneAlarm may consider the upgrade to be a new program and you'll be prompted again. This is common for programs like Firefox which is being upgraded all of the time.
Also, if you're like me and you access your computer remotely through a program like Remote Desktop or VNC, be sure to do this while being physically close to your computer. ZoneLabs will most likely block the remote access and you'll need to train it. I've forgotten to do this on occasion and have gotten myself into a jam by not being able to access my computer remotely because ZoneLabs blocked the request.
The one gotcha that I want to mention is that ZoneAlarm, and other software-based firewalls, don't offer 100% protection. A clever programmer could create a program that "tunnels" through another program that you trust and bypass the protection offered by ZoneAlarm. For example, if a trojan horse communicates to the outside world through Internet Explorer, your firewall isn't like going to detect that behavior. This is why you need to augment your firewall with an anti-virus program.
Finally, if you use anti-virus software that also checks incoming and outgoing e-mails, you can probably do without the e-mail protection feature found in ZoneLabs. You'll get a bit of performance boost by not having all your e-mails scanned by two programs.
Note: I'm not affiliated with ZoneLabs in any way and I don't benefit from installations of their software.