For few years now I’ve used the lightweight C·O·M·O·D·O firewall in conjunction with ESET nod32 AntiVirus. Both are lightweight and effective. Or were. ESET nod32 is still getting better with every consecutive release (the recently released 4.x, for instance, it lighter on system resources than its predecessor). But C·O·M·O·D·O just merged the “Personal Firewall” with their AntiVirus product hence effectively discontinuing the separate, lightweight and easy-to-configure firewall. Time to part ways — I’m not willing to use C·O·M·O·D·O’s A/V.
ZoneAlarm Pro may be the next good choice.