Personally, I use Tiny Personal Firewall. It free and more configurable that Zone Alarm and Sygate. This has good and bad points. The less configured it is, the more that can slip through. TPF also uses less resources.
D

G:
I don't think there is a problem running 2 firewalls, but it's repetative. Why use unnecessary resources?
BobViper:
I think TPF has some sort of auto update. Somewhere in properties I turned auto-something off and it stopped.