Tony,
I haven't tried ZA for ages, so to be fair it may have changed, but I found it quite intrusive, with constant alerts and flashing system tray icons. There was also something else about it I didn't favour, but I can't remember what that was now. I think it was mainly the alerts that put me off.
Of the free ones I have tried (ZA, Outpost, Tiny), and also Norton 2002/2003 I have found the Sygate one to be the most hassle free, and it hasn't stopped me doing anything I want to do. Outpost didn't get on with WinMX, Norton 2002 was OK, but 2003 wouldn't allow PC Banking, or Pals chatroom, and seemed over complicated to configure. I was getting permission requests for each and every web page, even after ticking the 'allow all the time' box. Tiny was just horrible, from what I remember.
I'm not saying that Sygate is the be all and end all of free firewalls (I actually have the Pro version), but it's the one I have been happiest with.