There are quite a few that work .. I've used Nortons firewall with no problems but that costs ..
If you want a free solution like ZoneAlarm offers then you might want to check out Kerio Personnal Firewall .. Its free for home use ...
http://www.kerio.com/kpf_home.html
They are have their new Beta up if you don't mind running beta software... I've been using this for the past 2 weeks with no problems...
Some new features are enhanced packet filtering, intrusion detection system,status report and improved configuration and other general enhancements.
http://www.kerio.com/beta_section.html