If your only looking for inbound protection i would highly recommend a router with a hardware firewall in it.
But for your specific question i will explain what each firewall you asked about can do, then you can decide what you would rather.

Windows Firewall:
Only has protection for inbound threats, so if a Trojan or similar is already on your pc the windows firewall can’t stop it from accessing the Internet.
Also the windows firewall is not configurable really, and not to easy to access.

Zonealarm Firewall (i use this):

Protects you again inbound and outbound protection, has its own support forum, there is a free and paid version, you can change the level of security, quarantines suspect emails (only basic in free version), change the level of program control, easy to use and access, has Internet lock down for emergencys and can log what is going on.

–lee