I used Trend Micro Internet Security for about 5 years and thought that it, and especially its firewall, were very good.
However, at renewal time I learned that I'd be automatically upgraded to their new "Titanium" product which according to my online reading seemed to be a very much changed product with a simplified interface (it was already perhaps too simple), fewer configuration options, and, what caught my attention, no longer included a firewall. IF that's true, it could be because the standard Windows Vista/7 Firewalls are now so much improved over the old Windows XP version. But I still use WinXP.
Since the Titanium conversion looked like it was going to be a drastic change in any event, I figured why not make a drastic change that I chose myself instead of one that I hadn't, so I switched to Kaspersky Internet Security 2011.
Its out-of-the-box default settings for things seem to be quite secure, not requiring adjustments, but for those, like me, who appreciate having lots of configuration options, there are plenty (for both antivirus and firewall), enough to be overwhelming.
The biggest firewall change I made was, using instructions from the Kaspersky forum, to block all unapproved outbound connections in addition to unwanted inbound connections.
I ran an initial antivirus scan after setting all the detection settings to their highest possible levels, and KIS did not find any threats that Trend Micro had overlooked during the 5 years of use, so my confidence in TMIS seems to have been justified.
The KIS reports (such as activity blocked by the firewall) can be difficult to understand, but they're more informative and better formatted than the TMIS ones were.
It took me a few days to understand the firewall settings well enough to create custom settings that were what I wanted, so it's more complicated than the old TMIS was, but the fine-grained control could be useful, and it's interesting.
Basically, it seems to have very good settings out of the box, fortunately. When you decide to do some tweaking, it can be very confusing.
I'd recommend it as seeming to be a very good AV/firewall, though I've only been using it for a couple of weeks.