But if you're unlucky to use Windows, well then you should use a firewall software and whenever possible, use anything else then Windows integrated one.
Comodo Free Firewall
Finally, I found a decent replacement for Outpost which was my favourite for a very long time.
Comodo Free Firewall is not only a simple firewall, but has several intelligent protection mechanism to protect your machine against any kind of malware, it learns continuously which applications performs what kind of actions, so any alteration is detected. You can submit suspicious files to Comodo for analysis.
And it is completely free of charge, and fully functional.
This fact and that it consumes much less memory than Outpost makes this one my favourite.
Outpost Pro Firewall
Outpost Pro was my favourite firewall for a long time.
I liked especially its low impact in the systems performance, its excellent attack detection mechanisms, its possibility so see all data flows through any TCP/IP connection and its logging system. Apart from being a good firewall, it is a good tool for debugging internet connections. It also detects alterations of executables, but when monitoring dynamic library loads, the system impact is noticeable.
For some time I used ZoneAlarm, but finally discarded this firewall of its bad impact on the systems performance.
AVG is another firewall which was free software, but I'm not sure anylonger about this.
It never convinced me, because you couldn't see what was going on under the hood. Maybe newer versions have evolved decently.