I've got both ZoneAlarm and McAfee, both are the paid versions (I got a free 3 year subscription to McAfee with my laptop.). Zonealarm is used on our two desktops, while McAfee is installed on my laptop. We also have a very good hardware firewall in our router.
Both have all the needed features but I've found McAfee to be very slow, even when it's just scanning a short e-mail.
There's also the rumour that the large companies like ZoneAlarm have built backdoors into their software for the NSA. I'm not sure whether I believe this of not, but I wouldn't be too surprised if it's true.