NEVER use a firewall integrated with an antivirus or vice versa, always use separate products. The problem with integrated software is if one part is compromised the other part(s) are at best suspect, and at worst also compromised.
not really. the one in windows 7 is better than the one in XP, which was completely useless and was the computing equivalent of hiding from a hurricane behind a sheet of tissue paper, but it doesn't really qualify as 'good'
comodo firewall is a good and free choice. Some people like zonealarm, but it tends to be a bit resource heavy.
I never expected that I really thought Windows Firewall in Windows 7 was as crappy as the one in XP which is why I opted for ZoneAlarm as I did when I was still on my XP machine.