1) The latest Zone Alarm release has issues so i'd avoid that.
2) Tiny, I tried it a few years ago but ditched it quite quickly, I can't remember why though.
3) Armor, i've never heard of this one, so on that score i'd leave it for now. (I'm an IT security pro).
4) Sygate is the best in my professional opinion, it can be as easy or granular as you like. i use this on all my home PCs and recommend it to many people.
5) I've had many dealings CA and am not fond of their software, so I would avoid it.
6) Whilst their AV product is top notch I don't rate the firewall very highly, its very fussy, appears to slow things down and when you install the internet security package its very bloaty.
I used Outpost for a while but found the free version too restrictive. This may have changed now.
Aside from a good firewall make sure you get antivirus and antispyware too, you'll need all 3 types of software in place before you go surfing.
Once you're all setup go to www.grc.com and run 'shields up' test, this will scan your internet connection and let you know if the firewall is running properly or not.
And, if you've got a cheap USB ADSL modem or similar yo might consider putting a better quailty route in its place, Linksys kit is excellent for this. By adding a real router you are getting a hardware level of protection that acts much like a firewall.
Hope this helps.
Simon., November 2005