blink by
http://www.eeye.com, it pretty much locks down your computer but it still fully usuable (higher end applications and full screen games do require that parts of the protection be pulled down). It's free and fairly light weight(much more so than norton).
The government use a version of it and the research team actually block things considerably better than microsoft does(they stopped the animated cursor zero day exploit on 3 different levels before it was out in the wild).
I personally cannot use it(I just use the comodo firewall instead) because the anti-hacker software punkbuster used by many online games doesn't like it very much but I would highly recommend it to anybody who is fairly computer literate.