I am still using Windows Firewall and I know that I should switch to a 3rd party firewall as soon as possible ... block Outbound connections.
I still believe that Norton products are very much bloated and they will have to work really hard to make it more efficient and light. McAfee products are not that bloated but I think they are getting there.
I am really a novice at rating Firewalls so what I do is I test the Firewall using the links in this thread:
http://www.betaone.net/index.php?showtopic=31026. That's how I satisfy with the Firewall I have.
I would also be interested in knowing new generation Firewalls that are efficient and taking less resources.