As wildcat said, it's more configurable. If you are very tight about security it's definitely worth it. I was using ZA for over a year and I've noticed an ever increasing amount of effort required on my part which became too time consuming. I lost a lot of the things the web had to offer, many pages would not load up properly and a lot of the software I use would not connect to the Internet even when granted full permission. The only way they would connect was by shutting it down. I'm now using 3 firewalls to take the place of what ZA did in one, XP's (never count on Microsoft for security), the one in my router (only does packet filtering), and one from TrendMicro. If you go to
http://www.grc.com they have a couple of utilities that will test your firewall out. ZA is without a doubt the best but you give up a lot of funcionality for it. Two final thoughts on firewalls. One, Symantec's is second to ZA but eats up way too many resources. Two, a software firewall is fine but once the firewall has done its job, a hacker has had the ability to get to your system. If you're truly concerned about security, think hardware firewall (much more expensive though).