I used to recommend Zonealarm, but no longer. It has not been passing recent leak tests.
I've had good luck with the built-in Windows firewall, but I don't use it often--only on my laptop when not at home. I have not noticed any system slowdowns caused by it. Since you are asking about third-party firewalls however, I'm assuming that you've already tried it and are ready for something else. I use a hardware firewall only (router) on my home computers.
Some others you may want to try:
Sunbelt Kerio Personal Firewall
Comodo firewall
Jetico Firewall
NetVeda Safety.Net firewall
Jetico and NetVeda are supposedly a bit awkward to use, but are great performers.