Windows 7/Vista: One of the common complaints with the default Windows firewall is the ridiculous number of pop-ups you'll receive when it is enabled. TinyWall removes that annoyance while still providing an easy to use interface for advanced and beginner users.
TinyWall is more a controller for the default Windows firewall than a separate program, but like any firewall, it will actively block viruses and trojans. It also allows you to setup different network zones so you can have it automatically bump up the security if you leave the house and tap into public Wi-Fi. It's full featured and allows you to block incoming and outgoing communication in certain programs if you want to, or you can use it simply as a better controller for the default Windows firewall. Either way, it's nice using the feature-complete Windows firewall without its annoyances.