I have a friend that uses Zone Alarm, and when I'm over there I get angry with it, you get a message when you get/send an IM! That's crap!
Sygate is fairly small, and descrete [ sp? ] that's why I like it, it also provides pretty good coverage.
I kinda wanna try the free Microsoft one, but I've only seen a little bit of that one, so it's still kinda up in the air.