Thank you for your answers.
Well, I was actually talking about a program more lightweight than a full firewall. I am already using Comodo, but as it's permanently running and taking 20k, and bothering me really often, I was just hoping for something more lean.
I personally don't have the feeling I need a firewall, as I'm sitting always (at work, at university, at home) behind a IPCop-Router, which I trust more than a personal firewall. But on the other hand, I'm not really into this whole firewall-thing, so my trust could be a bit naive :-)
Anyway, thanks again for your answers.