Choosing a personal firewall is a really simple thing to do, and a very wise choice to make. Most of the personal firewalls out there are very similar in features. I personally use ZoneAlarm (its more or less acknowledged as the best in the home user market). It is easy to set up, yet powerful enough for you to add fairly complicated rules if you want to. Out of the box it will protect your system well enough. Furthermore its not a resource hog such as some of the others. The company has recently been bought by CheckPoint, the makers of a very popular enterprise firewall.. so maybe we'll see some of that technology incorporated into ZA soon.
If you're in for the learning experience, you could try using another machine as a filtering gateway.. such as a linux table running the NetFilter packet filtering system (iptables). Though that would not be an out of the box solution.
I suggest you search through the rest of the posts in this forum, there are many entitled 'Best firewall' and suchlike, in which the discussion has been taken to its logical conclusion (on firewall.cx that means me and the other moderator, tfs, have agreed to disagree ).
When we talk about enterprise level firewalls, we're in a different ballpark.. the options get confused by the number of offerings in the market.... here are some things to consider:
Price - Someone has to shell out for the damn thing. Prices can range for free, to $lots.
Software / Hardware based - Cisco PIX firewalls are hardware based and use ASICs (application specific integrated circuits) so they should do stuff faster. However you may not need the blistering performance a high end PIX can offer you (at a price).
Options - Do you need VPN support or not ? What about remote administration ? What cryptographic support does it have ? How will it interface with the other network infrastructure you have (for example setting up a VPN between two different brands of firewalls will obviously be more complicated than using like software).
All that said, here are some products that I can recommend:
Sorry I dont have time right now to shove links in for those. It should be easy enough to find the sites.
I really suggest you look at the other posts here... on the security / firewalls forum we've beaten this dead horse so much that I'm considering amalgamating the general consensus answers and putting them in a FAQ.