It also depends on your specific needs. There are trade-offs.
- Do you run any P2P or public servers?
- Does cost matter?
- Does complexity of configuration matter?
- How critical is the computer concerned?
- Is wireless involved in any way?
- How much spare capacity does your CPU have?
- Do you run any network games, and if so which ones?
- Do you run AOL or connect to a network via VPN?
In general, for home computers, with critical data (family photos, email, and school projects) backed up to CD, not running public servers, with no P2P, the freeware version of a software firewall is pretty adequate when paired with an inexpensive NAT router.
If you offer public services (like a web server) the paid-for version of a software firewall allows more customization and may be worth the money. Again, paired with an NAT router or firewall appliance.
There is more on this here:
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When is an NAT router inadequate protection?
