The Internet is getting to be dangerous place. If your workstation is on the internet, you need a personal firewall. I also recommend that workstations used by administrators have a firewall. When the admin's workstation firewalls start popping, you know someone's knocking on your network door. When selecting a personal firewall, you should consider whether you want one that controls outbound communication with the Internet. The advantage is that you are alerted the first time any program tries to call out and you are given the option of deciding whether to allow it one time, always or never. The disadvantage is that you may have no idea what the program trying to call out is or what it does. To be effective, outbound control requires a user who has need or interest and skill or knowledge. XP and W2K have some firewall capability builtin. Read this kb article for info on XP's Internet Connection Firewall For 3rd party solutions:

• BlackIce Defender
  Strong intrusion detection capabilities. Book:
• McAfee Personal Firewall
  
• Norton Personal Firewall
  V3 alerts you to intrusions, maintains an event log of connection incidents, allows only applications out that you specify, permits cookies only from Web sites you've authorized, blocks Java applets and ActiveX controls by site, and the AutoBlock feature detects and thwarts port scans.
  Can be purchased from Amazon:
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• Sygate Personal Firewall
  Available from Amazon:
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• Tiny Personal Firewall
  Built on ICSA-certified security technology, it is an integral part of The Tiny Software Centrally Managed Desktop Security (CMDS) system selected by the US Air Force for its approximately 500,000 desktop computers. Available FREE for home use. Very configurable.
• ZoneAlarm Pro
  The choice of many. ZoneAlarm allows only applications out that you specify, has password protection, distinguishes between trusted and untrusted sites and intrusion detection.

If you need background information on personal firewalls, read Seán Boran's review: An Analysis of Mini-firewalls for Windows Users or Security Administrator mag's Personal Firewalls review.