Big ups to the sygate massive!
I've used it with no problems, has most of the other features of the other firewalls, and never really crashed any kind of multiplayer game. I've used the Mcafee firewall before, and it's GOOD, cept that it screws over any kind of internet-dialer software. I was using NetZero for a while before I could get REAL internet service cheap locally, and every time I would dial in, for some reason the firewall would block the initial connections to the server, and disconnect.
I used Norton firewall as well for a while and had no complaints other than it was a little too "automatic" for me. Not a lot of fine-tuning could be done with it. Plus, the pop-ups that I had regarding certain types of connections were just getting overwhelming. There is an option to not notify you though.
I also used ZoneAlarm for about 3 days, and I tried the Sygate trial as well. After seeing that ZoneAlarm's support was garbage, and that Sygate catered more toward professional business types, I went with Sygate, bought the firewall and it's worked great ever since.