Overall, you can't go wrong with either ZoneAlarm or BlackICE Defender. Those that are slightly more paranoid may even want to run both at the same time. The important thing is that if you have a permanent connection to the 'net via a cable modem, DSL line, or similar type of access, a network protection tool like ZoneAlarm or BlackICE Defender is a must-have utility that you should keep running at all times.
Pros: Freeware for personal use, a superior five-pronged line of defense, easy to use
Cons: Requires more input and configuration than BlackICE, reports less attack info