Everybody has their own preferences. I use Comodo's firewall and Defense Plus, but not their AV on two machines, and Windows 7 firewall on the other. All are running MSE for AV.
Since I've been using Comodo for a few years, I'm comfortable with the interface, more so that with the Windows firewall. (The number of alerts popping up is probably more a function of Defense Plus than the firewall. Interesting article on taming this - How to Tame Comodo Defense+ Without Disabling It
I've been trying out the Windows 7 firewall, and without the Windows 7 Firewall Controller, I didn't see any alerts and no popups asking about blocking outgoing, benign programs like MS Media Player, which I do want to block. (default Windows firewall settings).
Like I said, different strokes...
I'm going to give On Line Armor's free version a shot on one of my machines to see if there's a better solution.