My previousconfused the Windows Firewall with Windows Defender, which protects against viruses. (My thanks to the folks who pointed out the error.)
The fact is, I stopped paying attention to both programs a long time ago. First, I decided security is too important to leave up to Microsoft. Second, I can do without the hassle of managing separate applications for various security tasks. To me, the time I recover repays the cost of a security suite many times over.
So what's wrong with the Windows Firewall? It doesn't monitor outbound connections by default, and not at all in Windows XP. You can change some Windows Firewall settings in the Security Center (click Windows Firewall in the left pane and then choose "Change settings"). However, the majority of firewall settings are accessed via the Administrative Tools Control Panel applet, which you can open in Vista by pressing the Windows key, typing wf.msc, and pressing Enter.
The best reason to use a third-party firewall is because they're clearly better than the Windows Firewall, and several are free. Top Windows Tutorials compares the XP and Vista versions of the Windows Firewall to the ZoneAlarm and Outpost firewalls. (Note that the free version of the Outpost Firewall is no longer supported.)
The top-rated firewall in Matousec Security's most recent shootout is the free Online Armor Personal Firewall, which was the only product to merit a rating of "excellent." Seven other software firewalls were rated "very good," two of which are also free.