I consider myself an OS agnostic developer. I use OSX on my work laptop, Debian and CentOS for servers I run (at work and home) and for personal home use I use Windows 7, mostly for gaming. I don't hate any of these OS's. They each have their strengths and weaknesses, weird issues and great features.
The first piece of software I download and install on a fresh OS is an app-level firewall. There are plenty of these out there for every OS, and I've used quite a few. There is one in particular I've been completely floored by recently, but I'll get to that.
Some say you're fine using the built in firewall, and they're probably right. It does a pretty decent job at keeping you protected from external threats at public hotspots, while at home keeping your network nice and open and accessible - which is generally fine for a secure (i.e. not open or WEP encrypted) and trusted network. It does lack some ease of use and also doesn't protect you from any advanced attacks (such as APR poisioning).
I consider this the best firewall available on Windows 7 to date. It feels a lot like the early versions of Zone Alarm did back when it wasn't crap.
It's easy to set trusted and untrusted zones. It lets you know when new software dials out. It can even lock down your ARP table. And the basic version is free!
Despite the horribly unoriginal name, this is actually a pretty decent front-end for the built in Windows 7 firewall. Yes, that's right, it's not actually a firewall in itself, which makes it very lightweight compared to others out there.
No really advanced features here, just a nicer interface to the W7 firewall. Mostly aimed at users that need to be notified of new software connecting out and maybe set some trusted zones. Does a pretty good job and has a very low memory footprint. Also free with a premium version available.
So as far as I'm aware, there are only two app-level firewalls I've seen people use on OSX.
I've only trialed the demo for this one, but it does seem very nice. Easy to configure rules, nice notifications, very solid. $49.99 USD. Free trial available.
Pretty much the best firewall I've used on any operating system. Version 3 brings some very nice features to the table. Still in 'preview' but very much ready to use.
The network monitor is awesome. You can see at a glance what software is connecting where, and how much traffic it's using. If you like you can also dump a specific app's traffic to a pcap file. That's such a cool feature, and should be the standard for all app-level firewalls.
My only gripe here is it can't lock down your local ARP table, but this really isn't an issue for most people.
Free trial. $34.95 USD. Totally awesome. Highly recommended.
Not to forget about Linux! I used to be a massive fan of the Linux desktop a few years ago, but I'm sadly a little ignorant of it these days, only using Linux as a headless server for the most part. This means manual config of iptables for me when needed :)
For those who use the Linux desktop daily please feel free to email me your favorite Linux firewall app or iptables front-end (and why you like it) and I'll be sure to add it here!