I still stick with the hardware firewall in my D-Link router, I regualarly test it on the GRC site internet security test page and have never failed to be in total "Stealth" mode, undetectable is always the best way to surf the Net
I bought and used Black Ice for over a year, and it has some issues. but I had since switched to zone alarm pro and I really like it much better. and it's easier to manage (not that black ice was, but ZA is much nicer) Zone Alarm here!
joekd - thanks for the link, I tested my Black Ice and passed all tests. Whew! I was a bit concerned about it since I've been using it only because it was a friends advice. Then I read here that maybe it isn't as good as another, but it seems to be as good and I'll stick with it for now anyway.
If you have a spare machine sitting around (an old pentium or fast 486 will even do the trick) you may want to checkout Freesco. Just make sure you have two nics in the box and presto! Insta-firewall booting from a floppy.
You can also checkout GnatBox Light if you don't need massive amounts of simultaneous connections. One bonus with GnatBox is that it has a nifty little GUI to configure the floppy disk. They also have an excellent manual and support forum.
I've used both in the past and they are rock solid. They also save massive amounts of time over installing and configuring Linux (what Freesco runs on) or FreeBSD (what GnatBox runs on).