I use symantec's norton internet security. Many people are quite happy with zone alarm. As to how these deal with spyware, if at all, I have no idea.
Not needed Question for you: Do you really need a firewall? I used to use a firewall (Zone Alarm), antivirus (Norton), and Ad-Aware. They all do what they are supposed to well. However, they are really not necessary. Firewalls, my personal experience is with Zone Alarm. It eats more processor time than video decoding software. It also slows down your connection, this is a huge problem on a slow connection. However, if you have a high speed cable modem and a lan, you might want to put a firewall on the computer with the connection. Antivirus. This is not something you really need. E-mail viruses are easily preventable, and other viruses are much rarer. Don't download .exe files from unknown locations, it is stupid. If you are actually worried, a firewall will keep you safer than this crap. Ad-Aware. This really doesn't do too much for you. It takes off software that YOU put on it. The spyware doesn't actually install itself. It comes with various Freeware items. Look up freeware BEFORE you install it. Hopefully I am done ranting for the day.