ZoneAlarm is definitely a superior firewall that blocks all sorts of attacks that other firewalls let leak through. It's not just about more power-user features (which I generally ignore), but also just better protection by default. There is a grid of how several products (including ZoneAlarm and McAfee) hold up against various firewall leak tests. Yes, I did find this info on the ZoneAlarm site (go to ZoneAlarm.com and click on independent tests), but the leak tests are independent third party leak tests that you can download and run yourself for free. You can find similar info elsewhere - or check online reviews.
Bottom line - the ZoneAlarm firewall is generally and widely understood to be the best, it is free, so why risk using another firewall?