That's a good question since I am looking at purchasing a couple new firewalls myself. To answer that question you have to be a little more specific in what you want your firewall to do.
...packet-level filter?
...application/proxy filtering?
...will you be using ftp as well as web serving?
...is this firewall your first-line firewall or an interior firewall?
...do you have a fixed budget to spend?
Then you need to do a lot of research on firewall architecture. Do you want a hardware firewall or software? Check-Point sits atop a Windows (if your are Win-based) platform. You should be concerned that Windows has recurring security updates. Also, CheckPoint has had several security vulnerabilities in the past. PIX has also, but not as many. Sidewinder, however, has no known vulnerabilities to date.
In general, use the web to collect some basic data on firewalls then call some vendors and get them to give you pricing and their sales pitch. From there just make out a list of pros and cons for your specific needs and make the best decision.
There is no single solution out there or everyone would be buying only that one.