Windows Firewall can protect your computer ports from inbound connection just like any third party firewall. One of the main reason why people choose third party software is either having a filter for outbound connection (default windows firewall only blocks suspicious inbound connection not outbound) and also for HIPS (Host Intrusion Prevention System). HIPS firewalls require user to allow/not allow connections to the system. If you don't like to have popups regarding to allow/not allow things, then you maybe want to avoid HIPS (however third party firewalls gotten better on filter rules).
If you want a free third party firewall, the most popular one is the Zone Alarm free edition. Don't have an opinion on it but reviews from computer experts and customers think its adequate protection
http://www.zonealarm.com/software/free-firewall/For HIPS firewalls, the best and highly regarded third party firewall is the Comodo Firewall. With it default deny protection, it has a list of filter rules for safe connections. Any connections that are unknown will prompt the user for action, and of course the dangerous connections are blocked. Used to have this firewall and it did well, however the prompts could get annoying trying to compile code from an IDE.
https://www.comodo.com/home/internet-security/firewall.php. Make sure to install only the standalone firewall and not the free internet security package
Only reason you might pay for firewall is that you paid for an antivirus suiteAll fully feature antivirus like Bitdefender, Kaspersky, etc will have a firewall complimentary with their antivirus system. Other then that you are just paying for technical support (if you have issues/problems with it)
I personally use Windows firewall with Binsoft's Windows Firewall control (
http://www.binisoft.org/wfc.php ). This gives an easy option to filter out, outbound connections in windows firewall. However some computer articles don't think filtering outbound connection is necessary for computer users:
http://www.howtogeek.com/172349/why-you-dont-need-an-outbound-firewall-on-your-laptop-or-desktop-pc/