I tried ZA Free for a while, and realized that the hassle of having a firewall just isn't worth it. By using FireFox, and an occasional scan with Adaware, I haven't ever gotten anything bad. ZoneAlarm would just say "Are you sure you wish to open AIM?" or "Are you sure you wish to use the internet?" or "Are you sure you want to use your computer to do anything? It could be dangerous."
If you know what you're doing with computers, Firewalls really don't help that much, and like you said, they just become intrusive.