especially for XP SP2, that firewall is worse than tissue paper for the clients I've done work for. SP3 might have improved it a bit, but it still doen't do outbound and this is critical for accidental infections. The malware can quickly gain control if it can get back out through the firewall.
No matter what people seem to think Comodo Pro is still the ONLY easy to use leak-proof firewall out there. However you must NOT install Defense+ and definitely not activate it! Internet Explorer 8 will get into a pitch battle with it and you won't even be able to fully boot.
This obsolete real time protection was wonderful before, but IE 8 has probably rendered it obsolete.
Now as far as Vista x64 users go; I'd agree the built-in firewall is good enough for carefull users. I've done work for clients and was astonished they had been relying on it, and had no viruses despite operating as administrator the whole time!! They never violated the UAC however and this was probably crucial, especially since they regularly dumped their temp files and cookies.
I've fought some battles on my x64 honeypot and I can attest that as far as free goes, you can not rely on anything less that Comodo. ZoneAlarm is too bloated and I've had it taken over by malware and modified to let outbound control traffic be allowed. Just not worth it to me.
I do however do ethusiastically recommend ZoneAlarm's Z100G wireless gateway/firewall/router. I am using sofaware's version the Safe@Office and it can even keep the Chinese government out!! If you catch an errant infection it will block the communication untill it can be removed and give you a red light IDS alert on the router to let you know about the attack. Cheaper but probably just as good DD-WRT solutions can be had by surfing Tom's Hardware for FOSS solutions and firmware for the popular brands of hardware firewall/routers out there.