I used ZoneAlarm for a long time but now I'm trying to switch to complete solutions and my choice was BitDefender with av protection firewall antispam and other modules.
The firewall does a great job with stealthing all the ports, blocking unwanted connections and seems to learn faster and better than ZA when creating rules.
One great thing that I liked was the default whitelist (a list of trusted sites) that makes life easier. You should try it for a day or two