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If you are looking for a free (for individual and not-for-profit use) all-in-one security suite that includes a Firewall tool, Zone Alarm is hard to beat. Zone Alarm includes a new DefenseNet feature that leverages the real-time threat data from millions of community users that aids to detect and block threats.
Outside of using the command line to power iptables, Firewall Builder is one of the most powerful Linux and BSD firewall tools you will find. With this tool you can create incredibly powerful firewalls that are as versatile as they are strong. The only major drawback of Firewall Builder is that the meek should not apply. Firewall Builder is a challenge for new users and priced per number of firewalls you need to manage.