I use a router firewall. It is very easy to use, just plug and play. And it does a good job for normal users.
However, if you are a hacker and affraid of getting your information on your computer ripped off, then I would highly suggest you go back to dial-up or turn off you computer.
Windows 2000 and above (this includes XP) has a firewall built in, however I haven't been able to share files from my laptop to my desktop when i turn it on. So to me its a pain in the butt.
What is you reason for wanting or using a firewall?