Don't waste your money on other firewall products. Apple comes with two great ones built right in. One can be found in System Preferences->Security->Firewall. The other is hidden and a bit more powerful. Just grab one (or both) of these free utilities to ease your ipfw configuration (which can be a little tedious via the command line), and you'll be safer in your online activities. These firewall offerings basically control what data is allowed into your computer, so if you ever have trouble doing something online, check your firewall settings first.
You might want to add Little Snitch too (for outgoing connections), and if you connect with a router, keep in mind that you're already behind a hardware firewall. You need a software firewall for when you're at Starbucks or some such place, using a wireless hotspot.
Mac OS X’s built-in firewall—an implementation of the Unix ipfw program—works well, but Apple offers very few options for configuration. Hanynet’s NoobProof 1.1 and WaterRoof 2.0 are utilities that provide just such customization.