It doesn't matter as much as you think. A firewall doesn't stop you from clicking on a boobytrapped link, or downloading some program that has an extra payload. It won't stop phishing or other social engineering attempts... Basically, it won't stop you from doing something stupid any more than it will keep out someone who is determined to get into your system. If people can manage to break into computer systems of companies that probably spend more on computer security than you make in a year, why would you think some free bit of software is going to somehow save you? If it were really that easy, wouldn't every company in the world just install this same software?
What you need is just something that will keep the automated probes at bay by the social malcontents that like to think they're hackers, but really just know how to click a few buttons. For that purpose, the Windows firewall works just as well as any other. Don't worry about all this BS regarding outbound filtering and everything else. By the time outbound filtering does you any good, the damage is essentially already done. You have to be infected with something before there's any kind of outbound traffic that would need filtering. It's one of the many features you see promoted on programs like Zone Alarm, where if you take a second or two to think it through, you realize it's really kind of pointless.
Also, router firewalls are just the same software firewalls you find on Linux. The majority of routers just run some embedded form of Linux anyway. So there's really nothing particularly special about them, except someone did most of the configuring for you, slapped a web based front end on it, and it's easy to have several devices behind the same firewall. Enterprise grade firewalls and IDS units are likely going to be well beyond the budget of most people, so we won't even bother mentioning those.