I am using Sygate too,… + the NAT firewall from my SMC Router enabled.
I use Sygate,…cause I am used to it,…and cause it is simple in setup,…

I know that many people use Zonealarm,…but I am not that convinced about it,…had some weird experiences with it,…troubles in our network,…errors…ect,…

The Windows SP2 firewall is OK I guess,…however,…I read there are some malfunctions concerning the firewall in SP2 a while ago,…so they had to patch it,…again,…

I would recommend you a router,…so you can share your internet with other home users,…
Once it is set up,…you do not need to upgrade the firmware,…(well off course you can,…but most people I know,…do not recommend this, cause it might screw things up)