There are two basic software firewalls: rule-based and non-rule-based. Non-rule-based are the easier of the two to install and configure, while rule-based offer the most flexibility.
These so-called "set it and forget it" firewalls, like Zone Alarm, provide very good inbound and outbound packet and application filtering, allowing only the traffic that you want/authorized. The drawback is that, in some cases, it is an all-or-nothing proposition. You either allow an application to access the Internet or your system, or you don't.
Rule-based firewalls, on the other hand, like Kerio or Norton Personal Firewall, offer you the ability to not only control what applications and services are granted access, but through which ports and what direction (in, out or both).
Another consideration is whether you want/need added functions such as ad, cookie, pop-up blocking and privacy measures. Many want a firewall to be just that, a firewall, no more, no less, while others prefer to have a more integrated security solution.
So, after weighing the options against your current needs and skills, you should choose the firewall that works for you. No matter your choice, there are many very skilled SCForum members here to help you ensure that your system is as secure as it can be. All you have to do is ask!