I currently use BlackICE Defender and Norton Personal Firewall... used to use ZA with my cable connection, but at times, my connection would always get hosed, regardless of the settings, and it would only return to normal upon disabling ZA.
If you want a solid firewall that will not hog your resources or place a slew of potential glitches on your system, try either Sygate or Kerio. Both of which are excellent firewalls!