I would like to retract my earlier recommendation of ZoneAlarm - it completely failed to function in a home-network-masquerading-and-odd-DNS environment, due to treating DNS like any other UDP. Which it is, but anyone who knows what they're doing will want to allow DNS and disallow most other UDP. For an amateur with a single machine, ZoneAlarm is good, I suppose. For anyone who knows what ipchains is, however, I far more strongly recommend Tiny Personal Firewall, which behaves far more like that. Which is to say, you have a lot of say in what happens. Though it does tend to still treat you like something of an amateur ("TCP in" and "TCP out" rather than actually treating individual packets), it's not nearly as soft as ZoneAlarm. It's smaller too.
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