Pretty much any firewall that works will be fine. Windows firewall is good for over 90% of home users. The reasons folks would go with a different third-party product is typically because the Windows firewall isn't very configurable after a certain point, for example if you want to open a range of ports on your firewall to allow incoming connections, such as passive-mode ports on a FTP server, you'd have to enter each port separately in the Windows firewall, wherease 3rd party programs may let you enter a range, such as allowing ports 1024 through 2000, in one step.
I've run into situations however where the Windows firewall has done nothing. I've not seen that since SP2, so it's quite possible they've fixed it. But in the past I've had customers who have turned their firewall on and I could still port scan their computer and connect to it on open ports, even though Windows reported the firewall as being on.
My suggestion is to use the Windows firewall until you have a problem with it. In the case of any firewall, you're not going to know it doesn't work until it doesn't work, so use the free one until you have some reason not to.