Not to start a war, but it is not possible to clearly state one firewall is the best... Among free software, ZoneAlarm Personal is the most famous and perhaps easiest to use, but features and customisability wise, other free firewalls like Kerio and Outpost are better... In paid software, Zone Alarm Pro can be considered one of the best... It has very good customisability and retains the easy-to-use interface making it better than other paid software in most counts...
Personally, I currently use Kerio Personal Firewall and I find it better than Zone Alarm which I tried earlier... I have also tried a few other free firewalls including Outpost and Sygate but found their interface a bit too hard for me... Since I have reasonable internet awareness but not an in-depth knowledge in ports, etc, KPF is my personal favorite... For the novices, ZA is better as it has an easier interface... For those with good knowledge and the desire to tweak the firewall, Outpost and Sygate are good options...
If you are willing to pay, buy the PC World July issue for Rs. 60 and get a copy of Outpost Firewall worth Rs. 1800 included (again, dont want to start a war between mags)...
Arun