Ok seriously I do this shit for a living. Heres a bunch of info to read up on:
Matousec
This site tests firewalls. It does alot more than just your regular TCP and UDP connections. It also tests a firewall in its HIPs protection.
They have since renamed their research to the Proactive Security Challenge. Here is a link to the results:
Results and comments - www.matousec.com
This is the set of tools that they use for testing. If your security setup isnt on the test feel free to get a rating yourself.
Security Software Testing Suite - www.matousec.com
Virus Bulletin
This site basically tests antivirus softwares and either gives them a VB100 award or fails the software. It compiles recent results so you can see the timeline of a software based on if it passed or not. To see the results of the latest AV comparatives you need to register for a free account. This site also malware and other security related articles as well.
Virus Bulletin : Independent Malware Advice
ICSA Labs
This site basically runs some tests and certifies or denies security programs. It rates antispam, antispyware, IPSEC, antivirus, and various other networking softwares. All it really tells you is if a software has become certified, the operating system used for certification, and what level of certification it received.
Unfortunately nothing comes close to the AV Comparatives site in the way of Anti-Malware program testings and this is as close as it gets.
ICSA Labs
AV Comparatives
This is probably the most significant resource here. While we all are worried to some extent about what the firewall lets in and out, we are all more concerned about our AVs detection rate and weather or not its deleting something that we need.
On this site you will find independent comparatives of Anti-Virus software. All products listed in our comparatives are already a selection of some very good anti-virus products.
Basically this site takes a huge collection of malware, keyloggers, trojans, and rootkits and tests each of the AV softwares in detection rates and the amount of false positives they identify. They also do performance testing on AVs to figure out scan speed and various other things.
AV-Comparatives - Independent Tests of Anti-Virus Software - Welcome to AV-Comparatives.org
I hope this helps when you are looking for a new firewall or AV to use.
Dennis Technology Labs
This test aims to compare the effectiveness of the most recent releases of popular anti-virus software. The list ofproducts includes a selection of commercial and free programs (see below).
A total of 10 products were exposed to genuine internet threats that real customers could have encountered during
the test period. Crucially, this exposure was carried out in a realistic way, reflecting a customer’s experience as closely
as possible. For example, each test system visited genuinely infected websites and downloaded files exactly as an
average user would
The results of this test must be downloaded and read with a .pdf viewer.
http://community.norton.com/norton/attachments/norton/ModBoard/58/1/PC-Virus-Protection-2010-DTL-Report-consumer.pdf
The best free software is Avast v5 or Avira Antivir AV only(99.7% detection rate, Best on the market). You can use a third party firewall or Windows firewall. Windows firewall is decent and should be sufficient if you are on Vista or Win7. The Windows firewall in XP doesnt offer outbound protection, only inbound.