First of all: If you really want to be safe when connecting to Internet ... use a Linux distribution like Ubuntu.

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.

ZoneAlarm

For some time I used ZoneAlarm, but finally discarded this firewall of its bad impact on the systems performance.

AVG

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.

Network Brigdes

Network bridges are handy when used with virtual machines, for example using virtualization software like Virtualbox.

How can you create a network bridge?

Ubuntu

The following command line instructions create a bridge between the physical ethernet connector eth0 and a virtual host adapter vbox0 from Virtualbox:

sudo -i
apt-get install bridge-utils
ifconfig eth0 10.3.3.1 netmask 255.255.255.0
brctl addbr br0
ifconfig eth0 0.0.0.0 promisc
brctl addif br0 eth0
dhclient br0
brctl addif br0 vbox0
ifconfig vbox0 10.3.3.2 up

These instructions create a bridge called br0 and sets a static IP on the vbox0 adapter.

Windows XP

On Windows XP (I haven't and will never try it on other Windows versions) things are much easier:
Just select the two network adapters (f.ex. a physical and a host adapter from Virtualbox) that you want to connect from the network explorer, and click with the right mouse button over on of them.
You'll find a menu entry like Create Bridge.
After a while, a new icon appears, representing the new bridge which is fully operative.
If you want to unlink the adapters again, just delete the bridge icon.

MediBuntu

Medibuntu (Multimedia, Entertainment & Distractions In Ubuntu) is a repository of packages that cannot be included into the Ubuntu distribution for legal reasons.

Its main focus is on multimedia support, something similar to the Combined Community Codec Pack for Windows.

The most interesting feature is a full version of ffmpeg (including MP3 and x264 encoding).

More help on adding the repository and installing individual packages can be found in the Ubuntu online help.

Ubuntu 8.04 (hardy heron)

Should I upgrade to Ubuntu's latest release or should I wait?

At the moment, based on my own experience, there are more negative impressions than positive ones.

Negative

• Most of my recommended Firefox add-ons don't work anylonger with the latest beta version of Firefox that gets installed automatically.
• OpenOffice 2.4 lacks the paste special dialog when I try to paste some text copied from web pages into a spreadsheet. Why was that removed?
• VirtualBox doesn't work anylonger. It has to be reinstalled, but I still have some trouble with its module.
• It takes an eternity to start from my external USB drive (it slows down completely, and needs about half a minute to spin-up again). With 7.10 (feisty) it only took a few seconds.
• My Windows partition doesn't show up in nautilus any longer as "Windows", but only as "xx.x GB Media", no matter what I try to get this configured.
• Compiz wooble windows work worse on Dual screens (almost imposible to drag maximized windows from one screen to the other).
  

Positive

• Some icons are much nicer.
• Slightly speep-up of the whole system, especially Firefox (maybe of some few add-ons only?)
• Handling of wireless nets is better, as well as the new keyring.