I'm using OutPost, but I'm sure you can use whatever firewall you want. Sygate, Kerio, Netvada, L&S, ... to name a few.
i think there's a small issue with za and kav still, you might want to see this. otherwise most firewalls work very well with kav. might as well start trialing some of them! like eldar, i use outpost too.
I just decided to get the Kaspersky Personal Security Suite, So I dont have any problems with the program