I'd like to recommend the
Sygate Personal Firewall. It's free for personal use. Like ZoneAlarm it has a Pro version that has to be paid for.
I used to have ZoneAlarm on my pc, but I found it not compatible with my FTP-server (or maybe I just haven't found the right switch to make it work

), so I switched to Sygate. How nice that it loads much faster than ZoneAlarm.

Besides that, I can't see much difference between the two. If you're on dial-up, maybe you could choose the smallest in file size, so it won't take too long to download.