I’ve used and currently use both the free ZoneAlarm and the free Sygate. I use ZoneAlarm on my personal computer at home because it is simple and gets the job done. I have Sygate installed on my work/home laptop and on the multiple always-on semi-public computers I administer at work. I prefer Sygate in that scenario because 1) it has much more detailed configuration options, giving me more control over the ports/protocols etc. and 2) it is password-protectable, important when people who don’t know what they’re doing think that they do and want to change things to suit themselves. Both of these may be available for pay versions of ZoneAlarm, but I’m not interested in paying.
If you already use Sygate, I’d say stick with it. I’ve never had any problems with either. Advice for those just starting off on their road towards firewall protection: try ZoneAlarm first. #1 above re: Sygate was a bit off-putting at first - it took me a couple days before I got everything locked down the way I wanted. Now it just runs in the background all day without any internet connection problems, slowdowns, crashes, etc.