The Firewall in SP1 is quite good, I wouldn't bother looking for another.
I have had a few problems with some applications and SP1, I think it has to do with the registry. If I install the problem applications prior to installing SP1 then everything is OK but if I install them after SP1 some other registry settings which the applications depend on don't appear to exist, it's as if SP1 checks what is required and if the application isn't installed it omits/removes some of the standard registry settings which Windows normally installs by default. Apart from that, very good.