Personally, I feel that a good hardware firewall/router is a much better solution than messing around with software firewalls. A good hardware firewall is extremely secure, and isn't something that will bog down your computer. Plus, hardware firewalls are usually routers that will allow you to have multiple computers on your broadband connection. Even if you only have one computer, you never know when a friend/relative might drop by, right?
Honestly, there are only three reasons that I can think of to desire a software firewall:
1. You're worried about outbound connections.
2. You're easily amused and like seeing popups every time you get some network traffic.
3. You use dial-up.
If #1 is the case, you're probably installing riské software that contains spywares, malwares, worms, etc etc. Shame on you!
If #2 is the case... well... yeah, that's understandable. Pretty network graphs can keep me amused for hours on end.
If #3 is the case, it sucks to be you!!! Call your telco/cableco and tell them to join the 90's!!
Peace.
. I really hope they improve and match the quality of say OP 4.0 .
