Unfortunately, Zone Alarm lost it's performance edge when Zone Labs got bought out.
You'll always get dissenting opinions about anti-virus and firewall apps, but an effective (almost frustratingly so) firewall is COMODO, once installed it alerts and/or stops all actions until you give it the OK, it does have an "Installation mode", but once you take it out of installation mode, it's alerts can almost get a little annoying because it alerts to most non-system or application activities, not just suspicious ones.
It will remember your choices if you wish it to, so after a while it stops being a pain in the *ss, but after a fresh install of itself or a new app, it can be a little bothersome for those new to firewalls.
BUT, as a free firewall it IS solid:
http://www.comodo.com/