I use Comodo. I use it with Defense+. It is probably irritating to some of you, but I find its features invaluable. Combining with Avast, I have not had a single virus infection / known system breach in more than 4 years. (Windows XP Professional)
It prevents execution of unwanted programs from USB drives. It allows me control exactly which program is allowed to connect to the internet.
As has been mentioned above by others, either Defense+ or Firewall can be disabled individually.