The best way to go would be to get a hardware firewall, especially if you have DSL. I am not too sure if there is a hardware firewall alternative to a cable modem. Webramp, Netopia and 3Com make some excellent DSL routers with a built in firewall... yes they are around $500 (give or take a hundred) but they blow away software firewalls in terms of security.
Software firewalls usually can cause slow connections (please note the word usually), conflict problems, extensive logs, etc. Hardware firewalls, IMO, configure alot easier and keep the bad guys out alot more then software firewalls do.
I could go on and on about the pros and the cons of software and hardware filrewalls, but I think you get the general idea
Please note that I am not bashing software firewalls in anyway, alot of them are excellent. Just get what you can afford or how paranoid you are
Any comments or opinions are welcome.
Justin