In Matousec's testing, ZA Pro got a "very good" rating as a firewall while the free version flunked. In particular, it was rated "very poor" for its level of anti-leak protection.
I've used the free version for years with no apparent invasions (I run a virus scan daily and several spyware scans periodically). Just how much of a worry is ZA Free's "very poor" anti-leak protection?
Here's Matousec's testing and results:
Operating System:Windows XP Pro
Product Name:ZoneAlarm (Free)