I imagine that if the free version is good the retail version would be far more full featured there. The same could be said for AVG Pro being a retail product. For retail three names come up for firewalls being Comodo, Sygate, and Jetico.
Forget the free version of Zone Alarm while the others edge past their retail product. Only the latest version of Jetico is listed for Vista 32/64bit editions as seen at
http://www.jetico.com/download.htm
The Big 3 named here get the most often seen recommends by many. The one thing about most firewall programs to note however is the effect on multiplaying online. You have to configure each gaming server into the allowed list as you go along or simply disable the one used if problems come up.