Black Ice Defender - A good firewall for people who are new to computers and the internet. Extremely easy to use.
Zone Alarm Pro - A better version of Zone Alarm. I haven't tried this one myself. (About 1.9mb)
Conseal - Recommended for advanced users. Very configurable. (About 900kb)
ATGuard - For advanced users. Also blocks ads, java script, cookies to speed up web surfing. Very configurable. (About 1.5mb)
Sygate - Another good firewall. Not too hard to use. (About 2.61 mb)
I will add some more firewalls to this list shortly.