what the best firewall

Dont worry too much about a firewall, just use Windows firewall. However if you are really conscious use zonealarm.

The Windows Firewall is sufficient enough, however if you want to use a third-party firewall then use ZoneAlarm.

I really like ZoneAlarm. I prefer to allow every program I use manually, instead of some automatic stuff. It just makes things more secure.

I have been working in the network security field for a good part of 20 years, and if i gave advice like using Windows Firewall, or ZoneAlarm, I would never get another client again, using a software firewall is the same thing as building a fence inside of your house, most viruses and malware or rootkit will disable any firewall you may have for one, added to the fact it is another process lagging down your system, if you really care about security, you would need to get a hardware firewall. Most routers that are sold nowadays have some kind of protocol filters that can be enabled, in conjunction with NAT is decent enough for home use, corporate users should get dedicated hardware firewalls and an IDS system. But if you are looking for a software based solution, IPCop is pretty decent, as far as hardware solutions that are cheap, Netgear and D-Link both make cheap firewalls both ethernet and wireless.

On all my Windows Machine's I run PC Tools Firewall Plus. It's free and really useful as it also monitors the applications attempting to run as servers or make outgoing connections.

On my Mac I have just enabled the built in Firewall as that seems to do the job ok.

On my Ubuntu machines I use Firestarter which works with the built in Linux firewall.