I find zonealarm bjorks alot of online FPSs for me even if I open ports and give the game full access.
In BF2 running ZA all I get is constant connection problems alerts and in HL2/DoD/CS I get packet loss altho to be honest I often got shit rates and ping spikes without ZA, it's one of the reasons why I stopped playing that arse fo a game.
Can't go online without a firewall tho. I did and got a virus that completely fucked my system over.
I use BlackIce as a firewall when I want to game. Not as user friendly as ZA so I revert to ZA for general browsing and playing Eve.