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Seeing that my personal firewall preference has changed since I last posted in this thread, I would like to say I don't use Comodo firewall anymore (ever since they started releasing their 'Internet Security' suite).
As well as a hardware router, I recently started using the free edition of Outpost Firewall 2009 which offers everything I need, without excessive pop-ups or ridiculous memory usage (I've found it to be usually taking up ~26mb). It is also one of the best rated on Matousec.
For a good comparison of firewalls you may want to look at the article on Gizmo's Freeware reviews: http://www.techsupportalert.com/best-free-firewall.htm