The free version of ZoneAlarm is no longer among the better free firewalls out there (although the pay version is still recommended as is their antivir program).
There are only a few free firewalls I would recomend:
Comodo Firewall
Jetico Firewall
Online Armor Personal Firewall
Comodo is probably the best bet for most folks. It is relatively easy to setup and use for the non-techie. Jetico has great potential but takes a lot more tweaking.
I have never used Online Armor, it is a newer product but it is getting glowing reviews from everyone who has used it so far.
Edit: I went ahead and downloaded Online Armor and installed it on my test box to fiddle with it. So far so good. The interface is pretty straightforward and easy to understand. It passed all the security tests I've thrown at it as well. All in all I have no problems recommending it right along with Comodo.
---Independent firewall comparison & comparison.
...
If you don't mind a little bit of work an even more effective solution is to build your own firewall...
Take an old PC you have sitting around and throw something like m0nowall, Smoothwall or IPCop on it.
It's a bit more complicated than that but not unreasonably so. If you can build your own PC and install an OS you won't have too many problems setting up and configuring a PC/Unix based firewall.