If you are thinking about protecting your computer from crapware or even more serious issues like virusses, trojans or root-kits, there are many ways, many free - fortunately - many paid, some good, some better.
A software firewall is one of many ways of protecting your system. If you are in a network, or behind a router with built-in firewall, you might not need this (subjectable to debate), but fact stays that at the essence of protection lies the ability to be able to control what connects to what. Sandboxing, HIPS, Anti-Virus/Crapware comes after that...
Here is a good run-down on current versions of Windows firewalls and how they stand up to some realistic threats, not really capturing all features of the software (like stability, resources, user friendlyness, extendability, GUI etcet.), but hardcore security comparison. I have to confess, I have a slight bias for Outpost.
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Edit
+ Added poll to stirr up this subject (and the forums) a bit
Got the software names from here
Due to the limitation of the amount of options in the poll, I could not add all I found. I wanted to add these:
BlackICE
Bullguard
CA
Comodo
eSafe
ESET
F-Secure
Jetico
Kaspersky
Kerio
Lavasoft
Look 'n Stop
McAfee
Norman
Norton
Online Armor
Outpost
Panda
Preventon
Private Firewall
Privatefirewall
ProSecurity
SoftPerfect
Sygate
Terminet
Trend Micro
VisNetic
Webroot
ZoneAlarm
Info: The programmer on the mentioned site has shown a bias for Comodo, I can't say the results of his testing disapprove this bias, but, just to let you know.
I can only recommend testing for yourselves.