So today I tried to install the following firewalls, Zone Alarm, Agnitum and Jetico Personal Firewall. Before installing anything I backed up my C drive with Acronis True Image to be safe in case anything didn't go as planned.

Zone Alarm - After install I had no internet access whatsoever. Allowing all programs listed under program control didn't change anything.

Agnitum - Both of my browsers (FireFox and IE) were able to access the internet immediately but with Windows Mail only my Gmail account was working. My 3 other POP3 accounts couldn't connect. No amount of tinkering fixed it.

Jetico Personal Firewall - After restarting the PC after installation I was greeted with question upon question upon question of granting permission to different stuff (svchost and the like). It was like POP-UP HELL! After the 12th or so permission query I restored my drive to its previous image.

I still have to try PCTools Firewall Plus but I'm a bit wary with all the problems I ran into with the other programs. Maybe I'll just wait for Comodo to come out with their version.