These are the things I look for in a good firewall.
Hide ports.
Stop inbound and outbound unauthorised connections.
Easy to configure.
Good Customer service.
This site is good for testing firewalls
http://grc.com/default.htm
ShieldsUp for testing inbound scans and probes
LeakTest for testing outbound connections.
XP firewall is good but fails the leak test
Norton is good but the Customer service is not too good.
McAfee has great Customer Service with online 24 support.