Comodo Free Firewall is better than what comes with WinXP

Unfortunately, most firewalls leak. But Comodo's Firewall is unique in that it passes all known leak tests to ensure the integrity of data entering and exiting your system. Comodo has put firewall through all kinds of sophisticated tests to ensure its firewall powerful enough to ward off these attacks with default settings. No other firewall has had to work this hard.

Features from Comodo's website:

• PC Magazine Online's Editor's Choice
• Secures against internal and external attacks
• Blocks internet access to malicious Trojan programs
• Safeguards your Personal data against theft
• Delivers total end-point security for Personal Computers and Networks

I was a long time user of Sygate's personal firewall but when it was acquired by Symantec no more updates were provided and the firewall and all future development just died. I continued using Sygate until locating Comodo, and so far, has proved to be a great firewall.

Link:
http://www.personalfirewall.comodo.com/