Firewalls like most other software, you pay for what you get, ie paid for products will most likely be "better" or at least have have more features.
That said one of the better free ones is Agnitum's Outpost available here
http://www.agnitum.com/download/
Having said that, on one of my pc's i use the paid for version of BlackICE, but it's heavily configured and definitely not an "out of the box" setup. It's blocking all I want it block, and fully stealthed according to GRC's Shields Up.
You pay's your money, you takes your choice. If you are going to use a software firewall i'd do your own research (don't believe all you read by non and so called independant researchers / companies) and try several and keep the one that suits you.