I used to use ZoneAlarm year ago, but it really sucks now. I've tried it out several times [on good machines] and each time the results were disastrous. I've sworn never to waste my time again with it.
At the moment, the only firewall I use is CyberWall and it does a great job. I can basically ignore it and the CPU usage is very small.
Unfortunately, it is only available in Korean. I'm the only person other than the company who has an English edition... Not very helpful I guess...
IBM uses it here in Korea if that means anything.
As for other firewalls, I've never really found anything that impressed me much. I did like one CA firewall a few years ago. Can't remember what it's called now though...