i would personally use one mainly so that you can control traffic to and from each of your individual applications and other clients on your LAN but i havent found a vista (x64) one thats just right yet.
comodo was too over bearing and tried to be too clever for its own good (having to configure your own logic based rules for traffic, which still didn't act as hoped), monitoring everthing even things which imo a firewall shouldnt (the registry, and file changes).
vista's own isnt configurable enough and hides everything from you (plus you wouldnt build a fence out of chickens to protect chickens from foxes if you see what i mean)
i cant remember exactly what was wrong with zonealarm but it was x64 bit specific, so it may be okay for you, i've always liked and used zone alarm havent had much experience with the newer (since they became checkpoint) versions due to to the x64 troubles.