If all you're looking for is basic protection then stick with the winXP one, it does a good job at it with minimal app control if you need. One could argue you don't even need the firewall if you're behind a router, but good to have none the less.
If you're a control freak like me and want per application control then you can try out one of the free ones.
Old Sygate is good, though plain. I'm satisfied with it, it's functional but it's not as pretty as ZoneAlarm, yah, I said it, I like pretty windows. Plus it's not updated anymore, so..
ZoneAlarm was good, easy to use, but I had bad problems with it a while back with shareaza and emule. Though there have been a few updates since then I'm unsure if they have fixed or improved those problems since I now use Sygate.
Kerio is another free firewall that I've heard good things about, but I've never personally used. I'll be giving it a try soon now that Sygate is no longer updated.
Woodman - what version of sygate is that you posted? I have v5.6 build 2808 on my comp.