Personally I use Avira Free, like it really well. For the firewall I use the built in Windows Firewall and have had very good results with it. I have followed the advice I received years ago from another fellow at another forum where I post concerning the Windows Firewall, makes sense to me and it does work for me;
Windows Firewall blocks only incoming stuff whereas third-party firewalls block both incoming and outgoing stuff. This means that were you to inadvertently allow a trojan to be installed, WF would not prevent it from calling home with whatever information it had managed to harvest from your computer (passwords, monitored keystrokes, etc, etc). So, in theory, a third-party utility will offer a greater level of security than WF. However ...

... simply adopting safe surfing practices (not downloading applications from warez sites or via file-sharing utilities, not installing no-cost applications from little-known developers, etc, etc, etc) and running a good antivirus utility should be sufficient to prevent any trojans or other unwanted items from finding their way onto your computer and so a bi-directional firewall is, IMO, of less importance than many people seem to think.

Furthermore, look back over old threads and you'll find few (if any) instances of a person being "stung" as a result of using WF - but you'll find significantly more threads relating to problems caused by the use of a third-party firewall (botched updates, etc).

There is, however, no "one size fits all" answer here. Should you use your computer for online banking/shopping and should it be shared with file-sharing children, then it might not be a bad idea to install a third-party firewall, if you trust the other users to surf sensibly, then WF is probably perfectly sufficient for your needs.