Ummm, Avast "Firewall"? Avast is moving towards an anti-malware approach, but I don't believe they have a firewall yet. They are still pretty much AV oriented.
You will get all different answers depending on who you talk too. I used ZoneAlarm for years, but now use Comodo and like it, though it does have a steep learning curve. Comodo also supports HIPS, which is nice.
If you are not using one get, start Windows Firewall immediately. Since it assumes you keep your systems updated and you actively scan all incoming data, so data from your system is clean. Therefore, it is only one way, blocking unauthorized incoming access attempts only. Only take it down if you replace it. Windows Firewall is fine for most people, but, in XP, does not protect you from malware calling home from your system, should it some how get past all your other defenses.
lol - Well, I blame such things on QCF - quinquagenarian cranial flatulence.
ZoneAlarm is still a great FW but in their more recent versions have started to foist their entire suites on users more aggressively than I like - a common trend among all the suite makers, I am afraid, and an example to always pick "Custom Install". And there have been a couple issues recently where ZoneAlarm broke network access, which is never cool. But still, it is easy to use, and a lot of experienced users willing to help.
I really don't know of any bad firewalls, just good and better. If it passes Steve Gibson's ShieldsUP!! tests, you are probably good to go.
I use Zonealarm Free Firewall and now Avast Free Anti-virus (per Tallin's suggestion). Steve Gibson's ShieldsUp fails me on "Ping Reply". It also failed when I used AVG 8.0 Free Edition. Don't know how to fix.