When it comes to a free firewall, I would reccommend Zone Alarm. One gripe I have with this software, is that it does use up a lot of memory and system resources, and can take quite a while to startup. However, it is easy to use, it sets itself up, and doesnt keep on popping up to ask you questions. (The main reason I cannot tolerate kerio personal firewall) Sygate crashed my pc, but as my pc wasn't that stable in the first place, I cannot say for sure whether the firewall was at fault. The firewall in Windows XP alone, isn't enough to protect your computer. It will block attempts by remote computers trying to get into your one, however it doesn't control what programs access the internet. Therefore if you had a malicious program on your computer, with just the Windows XP firewall, it could access the internet. ( In SP2, it does ask if you want to block certain programs acting as a server specifically)
I use McAfee's anti-virus to protect my computer and have used their firewall and would reccommend it as well.