It depends what it's gonna be used for... a corporate firewall or just J.Random.singlestation firewall?
If it's for a small network, i will always recommend plugging in a cheapo linux box ( say a p2 300ish) to act as a gateway/firewall and just do some iptables rules on it. 100% free and 100% customisable.... but it's just not as ready made as everything else under windows.
IF you want a windows single station solution, why don't you ask your ISP what they have blocked anyhow ( for example, our DSL customers have everything under 1024 mostly blocked, save special stuff. Oh, and port 135, 144 and whatever those other rp vul ports are completely shut off until further notice, for example )?
And how about actually closing all the services you are not using instead of relying on a firewall to do a job that could be done by shutting off everything you don't need? Especially if you are running anything like winNT, win2000 or xp .
Simply put, a firewall will never beat shutting off unessential services from being offered to the world.
--Dave.