For home use with ease of use, stability, full features, and (as far as I can tell from the opinions of comparative, to me, experts, and security evaluation sites) effective protection, I recommend either sygate personal firewall, or tiny personal firewall. You have a LAN, however, and the per-task protection might not be quite as fully useful for you.
I do believe a router (some, not all, I guess you'll get more info from others or can search for a review) is the best bet for complete security for the entire LAN, however.
I just thought I'd get you started, as both the firewalls I mention have excellent free versions. Of course, their is ZoneAlarm...but...er...I just got completely sick of the instability in that product at the beginning of this year, and ditched it happily.