Besides set up behind my hacked linksys and the XP firewall I dont really use one and havent had any problems....Safe computing and keeping up to date on updates is more important then anything else...In fact a lot of security experts believe in wide open ideas as in you hang your machine out there and deal with problems dynamically....
When you start to rely on software and firewalls you tend to get careless...However if you really want a bad ass firewall take an old machine and throw smoothwall on it, the best firewalls are going to be hardware versus software....
http://www.smoothwall.org/