http://www.sourceforge.net seriously, all free, all open source and will honestly be the best firewall stuff out there.
I don't know if you are setting it up on a windows machine or not though. If you are the options on sourceforge are still there but will run you thin.
I'm a avocate of taking a old 486, sticking a 2 gig hdd on it, putting in two network cards and linux. It works as a combination firewall and router. It's alot of effort (took me about a week last time I did it) but it's cheaper (pawn shop will sell you a 486 for about $20...max) and more secure than 90% of what windows can offer.
Mine held strong for about 2 years when it finally died after a power outage and everything went all weird. I miss that little noise machine (it had a broken fan blade...it was noisy as all hell)
-Alex