Currently using DefenseWall, but when I "occasionally" change my setup I like to throw on Look'n'Stop. EDIT: Forgot to mention, Wireless Router with NAT and a hardware firewall. (AlphaShield)
I use Online Armor for most of my machines. I also have a Netgear Prosecure UTM25 so I needed a good FW for outbound protection which is why I choose Online Armor. Online Armor also is the most user friendly of all the strong HIPS firewalls I have tried. Which is all of them. I also have Look 'N' Stop installed on 2 machines, but they may change if the developer remains missing.
Laptop, Windows Firewall + Router--DefenseWall Firewall Desktop, Windows Firewall + Router--Webroot Essentials
I use: Router Windows XP Pro built-in FW Comodo FW I didn't see the "router" choice until after I'd voted though...
I thought about adding one of those to my setup as well back in the day. I'd love to hear any impressions on it.