Firewalls are extremely effective. I consider them a necessity to a network.
I've worked with three firewalls. Sidewinder, Gauntlet and Raptor.
I had to say I prefer Gauntlet for robustness of setup, maintenance, etc., BUT Raptor has some really great ways to add protocols, etc., if you network changes a lot. Sidewinder I'm less familiar with, but I didn't care for it.
I use ZoneAlarm for a personal firealarm on my computer and it's great.
For more information, I would send you to www.sans.org. You can search on firewalls and they have some articles on application vs network layer firewalls, etc.
This one might be a starting point for you.
http://www.sans.org/infosecFAQ/start/fw_start.htm
Good luck!!!
Melissa