you might enjoy reading numerous articles here:
http://www.smallnetbuilder.com/
I recomend you avoid ZoneAlarm like the plague. Sure it works for some people. Good for them I guess, but when many large review sites show nearly 50% negative reviews with nightmarish problems.... do the math. If you must run a software firewall I suggest Agnitum Outpost Pro
http://agnitum.com
for soho firewall appliances I suggest (ordered in ascending price/performance)
http://netgear.com (*)
http://sonicwall.com
http://netscreen.com
(*) go with hardware with SPI (Stateful packet inspection). Sure, sure there are the occasional circumstances where SPI is not the best of solutions but generally is better than not.
Having had repeated unpleasant experience with large quantities of linksys crap.. err I mean hardware, you should avoid them. I lump them in the same category as ilk like that from SMC, and Dlink. If you want to play in the pond of cheap go distance and write "I am safe" on a sticker and affix it somewhere prominent.
hope this helps