I'm using Comodo Firewall (with Defense+ disabled), which is OK. Prior to that I tried Outpost Security Suite Free and I preferred the way rules are presented in that but it causes latency problems affecting video playback, so avoid that. Still miss good old Kerio 2.1.5!
For firewall I use Avira Free, which I like as it allows me to exclude paths and processes from scanning, so I exclude Mediaportal/TVService processes and my Media and Record paths. It does show annoying pop-up adverts from time to time but I can prevent that by denying run access on the .exe responsible. I don't bother on my dual-screen system as the pop-ups appear on my monitor, not my TV, but on another system I'm building which will only be connected to a TV I did that, although ultimately I decided it didn't need an anti-virus as it's mainly going to be used as an HTPC (unlike my system which is used for a lot more) and I've installed Virtualbox to run an XP guest for anything else (with MSE installed in that).
I think over the last two years, I've gone from using (just for antivirus - I use the Windows firewall) Avast -> Avira -> MSE -> Avast - they are all OK (but MSE isn't very configurable - as Doveman says, Avira and Avast can be made completely silent, which is what you need for an HTPC )
If you want to know if you are vulnerable to a firewall attack you can test your firewall here https://www.grc.com
There are othe...where you can run a security test.
Keith
Doh! "For firewall I use Avira Free". I of course meant "For anti-virus".
I'm not particularly keen on MSE (as Owlsroost says, it's not very configurable) and I've only used it in the Virtualbox guest as Avira is incompatible with that and causes it to BSOD and fail to boot!