I don't use them (or like them) myself, but here's a matrix comparing all the majors: http://www.child-internet-safety.com/internet_filters.php  Seems like $40-$50 is the going rate.  None of the ones listed on this site are free.

Disclaimer: I can't vouch for this site.  For all I know, they're funded by the one who ranked highest.  I simply Googled for products I knew about (Cyber Sitter, Net Nanny, and Cyber Patrol) and found this comparrison.  Hopefully this will help you with your research.

My opinions may change as my 4-year-old ages Wink, but in general, I tend to dislike the concept of these filters.  I think parental involvement in the child's computing is preferable.  My son's computer is in our office -- not his room -- where my wife or I look over his shoulder when he is online.  Plus, as he gets older, I'm not so concerned about him finding 'inappropriate content' online -- I feel it's (mostly) as harmless as a boy leafing through his father's 'Playboy' magazine.  If my son trusts me, I hope he will come to me with any questions about things he stumbles across online (or things his friends might email him).

I am concerned about Internet predators and viruses.  For the latter, my son runs with a least-privilege user account, and we run antivirus and antispyware.  For the former, he isn't into chatting yet, but I think the chat programs have an option to log all conversations.  If he is not an admin, he won't be able to change those settings -- and my wife and I could read the chat logs periodically to know if he's making questionable contacts.  Also, education with the child about who they should talk to and who they shouldn't is warranted.  I don't mean to be paranoid (I'm reminded of the lost kid who hid from the search party because of his fear of 'stranger danger'), but I think we need to educate our kids -- just like you wouldn't accept candy from strangers, don't IM with strangers, either, and tell mom and dad if anyone tries to contact you.

My two cents,