Well, the main complaint about Windows firewall is that it only provides incoming protection, not outgoing. But the firewall in Windows 7 does provide this feature, unlike previous versions.
Whether or not to use the Windows firewall or a third-party firewall....that is left to personal preference. There are countless third-party firewall programs out there, and I'm sure at least one person that replies to this thread will recommend one. Whether one is better than the other.....the debate will go on for ages (Windows vs. XYZ firewall vs. ABC firewall, etc..)
I personally use the built-in Windows firewall. I've never had any major infections (nothing more than the occasional tracking cookie). But then again, there are countless people who use the Windows firewall, and have been repeatedly infected. And there are also plenty of people with third-party firewalls that became infected.
It all boils down to safe browsing habits, running ONE active protection anti-malware program, multiple on-demand anti-malware scanners, and one firewall. There is no single "magically perfect" program that will always keep your computer 100% safe all the time. The best way to keep safe is to use a multi-layered defense (like I listed).
The main thing is that you use a firewall (along with the other stuff I mentioned). Which one you use is mostly irrelevant. It's not something to pull your hair out over, but if you feel like you need to use something other than the built-in firewall, ask around and be able to make an informed decision.
Like I said, I use the Windows firewall, so I don't have any firewalls that I can personally vouch for.
I hope that answered your question.