A firewall of some description is as essential as a CPU if you're on the net. With out any firewall your PC will be infected within 20 minutes of connecting.
Sygate is ok as a basic firewall but it fails dismally to stop todays viruses, a trojan can pretty much dial straight out and download some friends for a party without sygate even blinking.
Also its not too smart in blocking infected apps either, making it next to useless.
Zonealarm is ok, gets the job done mostly but even a halfassed hacker could walkstraight past it.
Outpost is sweet and I believe there is a free version, it covers pretty much all the bases.
Kerio is like the atomic bomb in your arsenal in the firewall world, it takes down everything, your computer so much as sneezes and kerio is all over it. However the over zelousness of kerio means you *can* experiance problems with bits of your operating system being shutdown, apps not running properly, and general BSOD goodness.
Personally I would recommend using Firefox with plugins (flash blocker, java script blocker, ad blocker), outpost firewall, and a good antivirus solution such as Kaspersky or NOD32 alongside Spybot, spywareblaster, Adaware and hijackthis.