Following advice on these forums I am using PC Tools (Free) and I believe the advantage is it stops outgoing and incoming attempts whereas W7 only stops incoming. I used to have Comodo on XP, but found it a bit too intrusive. So far (3 months) so good with PCTools.
The Vista firewall was built on a new Windows Filtering Platform (WFP) and added the ability to filter outbound traffic via the Advanced Security MMC snap-in. With Windows 7, Microsoft has tweaked the firewall further and made it much more useable, especially on mobile computers, by adding support for multiple active firewall policies.