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The important point is that you need to find out which one works best for you. Using a firewall that needs extensive configuration for a person who doesn't have the knowledge or desire to spend the time learning or configuring could be a disaster waiting to happen no matter how secure that firewall may be. By the same token, assuming a firewall is so simple to use that you can set it and forget it could have similar results.
You can take a look at our more recent Firewall polls (2009 and 2010) to find out what's available and what's popular. However, keep in mind, what works for others may not work for you, and what doesn't work for others could work like a charm for you. Popularity may or may not work to your advantage, and the price is no indication of how good a firewall is. The worst choice you could make is to pick up a firewall only because it's popular or fashionable.
So start simple and move up to more complicated firewalls if you wish or stay with the simple one if it works for you. It's up to you. However, if you decide to move to the more complicated, don't forget to protect yourself while you are learning. Using a firewall that you are comfortable with, alongside the one you're trying to learn, will ensure that you are secure while testing the waters. Remember, the time you spend thinking about which firewall to use is the time your computer stays wide open. Choose a simple firewall and protect yourself first, and you will have all the time to explore your other options.