there is only 1 best firewwall I have seen, the hardware firewalls, they are hard to beat
don't worry about port scan. Zone Alarm will block it by default, I use sygate, well it deos it for me
The best is Windows XP SP2 inbuilt firewall, all ports are closed by default, only when required a port is opened & only that data gets inside which was called by your PC, so no one else can send data in your PC with it, however, since it is integrated in Windows so it is dependent on other windows component, in which if there is a flaw then it can be breached